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By default, Windows Live Messenger 2011 (WLM11) saves your downloads  to the following location: C:\ Users\ UserName\Documents\ My Received Files.  My Received Files folder is not a very easy and handy folder to put your downloads. For this reason you might wish to change the default download destination folder to another one which is more easily accessible, or simply put your downloaded files to your desktop. Let’s see how to achieve this result!

1. Run and login your Windows Live Messenger 2011 (WLM11).
2. Click Tools and at the end of the menu, click Options.
3. In the Options window, click History on the left pane.
4. In the right pane, under the File Transfer section, click the Change… button.
5. Select the new download destination folder from the list.
6. Click OK.