It's possible. See these links 1. See How to Change download location (click on link), & also 2. See How to Change download location B (click on link)

Thus you can separate the types of files you downld to different locations. Make the music folder : C:\Documents and Settings\"your account name"\My Music or C:\Music or wherever you normally put your music for your player. You didn't specify the player so I can't add any more.