[Start] -> [Run] -> [Regedit]
Registry Key:
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HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer
Look in the right hand pane for a value name [Download Directory] then double-click value name and change the directory path to your desktop.
Example : C:\Documents and Settings\[Your Logon Name Goes Here]\Desktop
*just click the "Start" button to view logon name ... its right above "Turn Off Computer..."
Here's an example screenshot to help you ...

Simple uh

if you don't see that entry ... and you should ... then ...
Create the Value Name [Download Directory] according to the Value Data listed below.
Data Type: REG_SZ [String Value] // Value Name: Download Directory
Value Data: [Enter Path to Directory to be Assigned as Defualt for Downloads]
Exit Registry and Reboot
