Means Right-click the file in the download window. From the pop-up window that shows, choose Change Location .. then browse your computer ... if your files are normally going to Drive C where personal files usually are, then change to Drive D or E or F, etc.
Means you'd need to go upward in directory from your default download location.

In example image below, could choose Drive E (Local Disk E) instead as an alternate place to download to.



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When I right click on file in download window, I am able to select Choose new location, as suggested; but when the pop up window opens, I see Drivers but nothing happens when I right click or left click on drivers.....what am I doing wrong?