I'm quite certain that due to security limitations you cannot manipulate any settings, files, or folders on the client computer via a browser. If you could, many, many bad things could happen. I think it might be possible to do that using ActiveX which would be an IE-only solution. There's a similar discussion about this here:
The best thing you can do is provide clear instructions for the user on how to create a directory on their computer, and how to store the files that get downloaded into that directory. Even so, people generally don't read instructions and they're likely to do whatever they want anyway so I wouldn't count on the user storing the files in the right place. Hope that helps,