In this post I see the solutions for setting the download directories for Chrome and Firefox how to change file download location in Webdriver while using chrome driver/firefox
According to this answer from Jim Evans, who is heavily involved with WebDriver for Internet Explorer, this isn't possible:
Internet Explorer doesn't use profiles. It's a limitation of the browser itself, not the IE driver. As such, there is no way to automatically download files to a specified location with Internet Explorer.
Also:
As far as I am aware, there is no difference between Microsoft Edge and Internet Explorer with respect to using "profiles." The profile is still tied to the logged-in user account in Windows.
So, in a sense, the directory already is specified. The point is that you can't override it via WebDriver.