Downloading .wba files

If they are downloading as a .wba and self installing they are where WB needs them to be, if you save them elsewhere you would have to browse to them to install to be able to have WB apply them. They would then be where they are installing on download.
If they are not self installing on download and are just being saved to disc, when download browse to where you want to save them, then download.

Depends on which browser you are using. If you are using FireFox then click on Tools/Options and then the Download tab. From there you can choose to have the Browser ask you each time or specify a directory to put the downloads in.

If using Internet Explorer one simple way is to right click the download link and select "Save Target As" which will give you the option of where to save the file.