The download location is controlled by the application and its settings.
You did not say what application, but go to the settings and change the
default location. For example in Chrome go to Settings and click the
Advanced settings section at the bottom. Then scroll down to where it says
Downloads. In FF go to Edit, Preferences, General tab, Downloads: Save to
...

You will have to find the settings for other applications such as
Bittorrent clients etc. and change each. The reason why this is not done
globally is because you likely want Music in a different place from Deb
files, for example.