@LonelyDadIt's browser profil dependent.
For firefox via UI:
Menu Tools > Settings > General > Files and Applications
or Hamburger > Settings > General > Files and Applications
via url: about:preferences
For Chromium based browsers via the ui:
Menu > Settings > Downloads
and via the url:
Edge: edge://settings/downloads
Chrome: chrome://settings/downloads
Brave: brave://settings/downloads
By default all folders use the location of the Windows Download folder a subfolder of the user profil folder, The download folder can be relocated via it's explorer properties.
Also note that browser extension based on Manifest v2/v3 can't save file outside of the download folder and it's subfolder as choosen in the browser settings, but you can work around that problem with hardlinks.
Beware
1 The windows standard disk cleanup utility now propose to empty the download folder.
Also, the download folder is by default not part of either file history backup or the new "Windows Backup" app. It's of course still part of a system image or a snapshot. But those are unfortunately not automated by default.
In addition to regular backup to external drives, I would recommend to dedicate 30% of the disk space to snapshots and do them daily.
To avoid data loss problems it's best to avoid using the windows download folder as a download location.
2 By default windows silently encrypt the disk and save the key to your Microsoft account. It's critical to either print it or safeguard a copy to an usb drive.