I suggest changing the destination to 'Always ask me where to save files' (as per bhg41's route - the 'hamburger' symbol is the one with 3 horizontal lines).
Before making the change though, take a look at the current setting which will tell you where your missing files are. It's likely to be the Windows' download folder. If so, click the Start Button and then on your Windows username (although clicking on 'Documents', 'Music' or 'Photos' is actually just as good. Then click on 'Downloads' in the left-hand panel. (Those instruction for Windows 7 but they should work with other versions of Windows as well).