Go to Tools>Options>Saving(not sharing)and browse form there.

Instead of downloading your files to your desktop, it would be better to download them to your shared folder, then put a shortcut on your desktop for that folder.

The default location of your shared folder is C:\Documents and Settings\"your account name"\Shared. Find that folder, then right click on it and choose to send it to your desktop(create shortcut).

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If it ain't broke, fix it till it is!