If you want all downloads to consistently go to one specific folder (other than the standard "Downloads"), click Change next to the Location path in your browser settings and select your preferred directory.

If you need to organize downloads automatically based on file type or source, extensions and scripts can help. How To Change The Download Location In Chrome

Go to Safari > Settings > General and modify the File download location dropdown to "Ask for each download" or pick a specific folder like the Desktop. Using Google Drive for Desktop