Win XP, Firefox 12: Downloads Getting Lost

Win XP Pro

In Firefox12, the current latest version, how does one specify where downloads go? And why do they not always go where specified?

Under Tools/Options/General Tab/Downloads, I have checked Save files to <u>Downloads</u> , a subdirectory of my My Documents folder.

However, an application I just downloaded from Western Digital, went to C:\Documents and Settings\'My Name'\Local Settings\Temp, making the file hard for me to find.

I just tell it where to go every time, since I don't want all my files going to the same place.