I've only had this problem with Vista. This problem is complicated further in IE8. In IE7 my downloads went to a "virtualized" folder for my protection and I could open that folder to drag my saves to their real destination. In IE8 they also do this but do not give you access to the virtualized folder. I have seen suggestions about turning off UAC to overide this and that works but it leaves your computer unprotected from other attacks.
A better approach is to make http://content.ancestry.com a trusted site by going to Tools, Internet Options, click the Security tab and enter "http://content.ancestry.com" as a trusted site. Then your saves will go where you want them to. Remember its content.ancestry.com not ancestry.com.