To change where your downloaded files are stored, right-click the Start menu, choose File Explorer, right-click the Downloads folder in the left-hand pane, and then click Properties. You can now find the Location tab, which lists where the folder is on your drive at the moment, and then enter a new path and hit Apply. From now on, instead of downloads, your downloaded files will be saved in a newly specified directory. You can always press Restore Default to return to the Downloads folder if you change your mind.
Microsoft will hopefully update the browser to enable users in the future to do this in a more straightforward way.