As you already know, you can download files stored in OneDrive, SharePoint or Teams (Teams channel or chat) using the Teams client.
Well, until now, you had no option to manage where the files were going to be saved (your default Download folder in your user profiles) nor being asked where to save.
Good news, you can now define another default location for saving files as well as being asked for where to save them.
To do so, open your Teams client and access the Teams Settings using the ellipsis (you know the 3 dots … on the left of your name)
Then go to the Files section to set the default location and if you want to be asked to select the saving location