To change the downloads folder on Windows, you can select "Change
Downloads Folder" from the LittleShoot menu in the "system tray" on
the lower right corner of your screen. You should see the LittleShoot
icon there in green -- exactly like the icon on the upper left of this
forum.
You can also change the "Incomplete" folder -- the temporary folder
files are stored to as they're downloading.
Apologies for the delayed reply, and I hope that helps!
-Adam