In FF you can also get it to prompt you every time for the location to save, I don't think you have that option in IE.
There's something awry here. In Win 7 and Win 8.1, whenever I click on a link to a file on the 'net eg an installer (exe) file, I always get a prompt in a long yellow box at the bottom of the screen asking me what to do with it:
If you click Save, it goes into the obscure Download folder, as previously mentioned, but the Save As option is on the drop-down. Always been the same with my Win 7 and Win 8.1, multiple machines...