Using Internet Explorer 7, and it only started doing this a little while ago. I'm pretty sure I didn't change anything, and even now, I just reset all internet preferences to the way it would have come if I just downloaded the program.
It still automatically downloads, so I assume it must be something that changed on the site.
If I quickly right click and hit "save target as", then I can save to a new location, but before it would always ask me. Not sure why it doesn't anymore... ahh technology...