The Vista Save and Open dialog - you can *easily* customize that - notice in the top left hand corner where you have those folders listed usually something like
Documents,
Computer, etc.? Drag your favorite folders there. Now, when you go to save they are in that list - but if the box is too small then you may have to click the more button to show the folder, especially if you use *many* different directories.
Another alternative for Fx users, though, is to use the Down Them All add-on. The newest version allows you to save different folders to save to, and it integrates into Fx's download dialog box - see my pic:
Using this you'd be much more in control of your downloads, and allow DTA to use multiple threads to download stuff, making for an overall better experience.
Using this method, you'd have 4 clicks to grab a download, provided that you already have a directory set for it, and if you don't then I think it is a total of 6 clicks (to define a new path to save to you use the DownThemAll! click instead, click OK, then click on the folder icon in the new box, find your directory, click Save).
Let me know if you need more help on either of these methods to help you save time.
Also, note - DTA is a Fx specific extension - it will not work for IE or any of the browsers based on IE, nor Opera.