I use firefox for the most part, but I had to see if I could help you with a fix. I found a link to an extension that seems promising. It's at
http://www.ie7pro.com
Down in the taskbar a mini download manager appears and it has a option to select save directory before download. I'm using xp sp3 so I don't know how it works with vista. On another note, with this extension, there is a check box for downloading youtube video. I found it in the wiki and with the check of the 3rd box in user scripts, you are able to have a download video link on youtube pages. To open those options click on the new icon at the bottom right corner of ie7. This was something I've been looking for since unplug doesn't work with ff3.
I hope this helps and good luck
