Change default Internet Explorer Download Directory

Start/Run/Regedit
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer

In the right pane, double click on the Download Directory value. Enter the path to the folder you want as your download location.

Next, right click on the Internet Explorer subkey and select Permissions. Then click the Advanced button on the Security tab. In turn, Highlight Administrators, your user account and System. For each one, click the Edit button. In the Deny column, put the check mark in Set Value. Then click OK. Repeat for each of the remaining user accounts. Once done, click the Apply button on the Advanced Security Settings dialog.

This removes the "permissions" for anything or anyone to write to the Download Directory value. It also prevents changes to any of the other values listed directly under the Internet Explorer sub-key, so you may wind up preventing something else from being changed as well. Unfortunately, its not possible to remove permissions from individual values