Motivated from this question, I have a question in general :
Can a remote location on a server be the default download directory ?
If that's possible how one should proceed in order to achieve that ?
NOTE: I know the question is very broad in terms of platform (Windows, Linux and MacOS) and the specific configuration on each of them, but I wish that question gets some sensible answers.
The answer is yes, after you have mounted the server file system as a local disk on your PC. But if you want the download to happen directly from the HTTP server to the file server without involving your local workstation, the answer is no.
In Linux (I think Unix in general), if you can mount this remote location in you directory tree, then yes. The whole idea is programs shouldn't worry where a given path that looks local points to. Kernel or other programs will transparently handle this.
Some protocols have kernel support (e.g. NFS), some solutions use FUSE (e.g. curlftpfs, sshfs).
I don't think Windows is as flexible. I may be wrong though.
