How to set the default "open with" folder when opening an excel file from a web link?

when you open an excel file (or any office file) hyperlink from a website, you will have two options:
1. Open with Microsoft Office Excel
2. Save File

For 1, I think the file will be downloaded to the temp data folder first and then be opened from there.  Seems different browser has different default temp data file folder, for example, seems in IE, it's defaulted to C:\tmp.

My question is, how could I change this default folder in IE? Also is there programming way to do so?

Thanks!