This occurs outside of Galaxy but this is some general help:
You may need to configure your browser (Chrome, Safari, etc) to ask where to put downloaded files if you are not asked during download - or alternatively - set a new default location where you are not asked each time. See your web browser's help for how to make this change.
If you make the setting so that you are "always asked", after clicking on the disc icon to download, a system dialogue box will open in the browser. Using that you can reset where to place the data each time. I find this to be the most helpful option, but you can choose the setting that best works for you.
Thanks, Jen, Galaxy