If you want to change where partial or complete downloads go, then with Xolox active click ‘Tools’, then click ‘Preferences’, then click the ‘Downloads’ tab, then click the ‘…’ box beside the item you want to change and follow the path you want to go.
If that’s what you mean by “your download”?
If you are talking about the “hostslist.txt” download. First download it by checking “save to disk” when the download popup gives you the choice. Then just replace your current hostslist.txt with the new one.