If you are using the sagenb Sage notebook, you can change the environment variable DOT_SAGE or even DOT_SAGENB; see this question.
If you are using the sagenb Sage notebook, you can change the environment variable DOT_SAGE or even DOT_SAGENB; see this question.
The download functionality is completely separate from the storage. Notebooks are numbered, and live in a directory like .sage/sage_notebook.sagenb/home/admin/ (depending on your DOT_SAGE or DOT_SAGENB), listed by the number. Downloads will just go to whatever download directory your system prescribes, I guess.