Firefox Question

I like the new version 1.5 overall (particularly the feature that opens a new window when I click on a URL in Eudora, instead of changing the last window viewed, which was what it did before, and the ability to move tabs), but one thing drives me crazy about it (as it did in previous versions).

When I download a file from a site, it automatically puts it on my desktop. It doesn’t offer any other options. I think I can go in and change the default to some other location, but I don’t want a single default location–I want to specify at the time of download where I want it to go. Does anyone know if this is possible, and that there’s something I’m missing?