how does one download a pdf to the desktop, NOT the downloads folder in user groups

New MacBook Air: When downloading a pdf from a site on the web all my downloads go the my downloads folder in my user group. I want to download directly to my desktop or to a thumb drive. This was always an option with my MacBook Pro which I have had for 9years, but there appears to be no way to choose where a downloaded file goes to. It always goes to the download folder in the Users folder on the hard drive