I'm confused when you say that you've downloaded a web page. (To be pedantic, if you can see it, you've already downloaded it).
If you want to save a page, go to 'File > Save As' (in Internet Explorer) or 'File > Save Page As' (in Firefox). You should then see a box which has 'Save In' alongside it. That will show where the page will be saved unless you decide otherwise. To change the destination, click the little downward arrow (at the right of the box showing the destination). Click on the relevant drive or folder to select it. Repeat if necessary, until the correct destination is shown.
The next time you save something (whether it be a web page or just a single image), using the same browser, you should find the same location is pre-selected.
Chris