When downloading you are presented with a window asking to download to disc or open, if you choose open what happens, and if you download to disk what happens in each case how do you install to the right directory.
If you download an update for a program which you already have installed, then by choosing OPEN it will download it and automatically proceed to do the update. If you download a program and choose SAVE you can download it into any folder you wish ( or direct on to the desktop). You can then, as suggested by Clint2, first check it for viruses and then later, double click the file you have just downloaded so that it will install itself and make the necessary folders, icons and registry entries. If the file you are downloading is a ZIP file then it will need to be unzipped first before you can install it. Hope this helps.
I agree with Graham ® about downloading to the same place every time and also with Clint2 about virus scanning the files before installing them. However, I don't use the desktop as I like to keep some of the downloaded setup files to transfer to my girlfriends laptop at a later date. Imagine the clutter on the desktop! I have a folder in My Documents called (wait for it) Downloads. When downloading (and selecting Save) navigate to this folder and click OK. Next time IE will remember where it saved to last time.