Go to Tools > Options > Saving, click the Browse button & direct LW to which folder you wish to download to. Simple as that. (If you are on Vista & Mac OSX then you must have system permissions to be able to use that folder directory.)

See How to Change download location (click on link)

Thanks L of the Rs I perhaps did not make myself very clear. I want to be able to nominate the playlist folder the file is loaded to when using the save as option.

Sorry for the lack of clarity

Regards
Ingin