Files which you download from the internet, such as email attachments, will automatically be saved into your Downloads folder. You can change this in the Preferences.
Open Web ▸ Preferences ▸ General.
Press the Download folder name to select a different folder for downloads. If the folder that you want to use is not in the list, select Other… to browse for it.
If you want the downloaded file to open automatically, tick the Automatically open downloaded files checkbox.
If you save a file instead of downloading it, you will still need to specify where you want to save it to.
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