If that did not work, this should definitely fix it for Internet Explorer. I'm sure you know, but the problem was Internet Explorers download destination. I still suggest FireFox.
1) Start Regedit
(If you have no idea what this is, use your computers search option and type it 'Regedit' and open it.)
2) Go to HKEY_CURRENT_USER\ Software \ Microsoft \ Internet Explorer.
3) Right click Internet Explorer, then choose to 'Add a String value' called Download Directory. For it's value, enter in the Directory where you want your downloaded files to go, refer to example below.
Example:
