Your last statement doesn't make sense.
The attachments are files, a folder is a place to store files, you can download the file to any folder you want, if you go into options and on the general tab set firefox to always ask me where to save files then you'll get a prompt for everything you download asking what folder you like to download it to.
In reality, it's probably easier to leave it so it downloads everything to the downloads folder so you can always find everything you download and then move whatever you download to the relevant folder afterwards.