You can launch a download off the VDH menu by simply clicking on the entry. This performs your default option. Did you know that you have a default option? Did you ever set a default option? I'm guessing this is where your problem lies. Instead of clicking the entry, hover your mouse pointer over the right end of a VDH menu entry. Don't click, just hover. This will make a previously not visible arrow appear. Now click the arrow. Here you have several choices. Quick Download immediately launches a download into whatever folder you last downloaded into. But I am guessing that instead, Download is actually the one you want. This is the selection that launches a file selection dialog in which you can select a target directory & even change the name of the target file (but don't change the file extension, even though you can). But right before you actually click Download, go to the bottom of the menu & check the Set as Default box. From this point forward, you will not need to do the hover trick. You will be able to just click the entry in the VDH menu & it will do your brand spanking new default action, which will be Download. That will give you the file selection dialog every time from now on. Until the next time you set a default action.
You might want to bookmark this:
Among the many useful links in there, the very first one is to a tutorial on how to use VDH. Even if you think you're an expert, you never know what you might learn from the tutorial. And the from rest of that thread.
Good luck!