I went to OPTIONS in DOWNLOADS and indicated that I wanted my downloads to be saved in a particular location but that instruction is ignored and is saved in MY DOCUMENTS, what am I doing wrong?

Thanks, Bob

I presume you are using LW 5? Which version of LW 5? I am aware LW 5.1.1 had a bug with the downloads setting which could only be set via Tools -> Options -> Advanced -> Files, set Download Folder Categories.