Yeah I know. It's not the only program that does that.. I presume you are using LW 5. See 
http://www.gnutellaforums.com/downlo...tml#post338387 where you need to change location for 'each' category. Unfortunately the actual Downloads location option does not work. I've already posted a bug report for this. O.o 

 (category location works well however. 

)