Disabling the Ability to Change the Default Download Directory

If you want user's not to be able to change the Default Download Directory

1. Start Regedit
2. Go to HKEY_USERS \ .DEFAULT \ Software \ Policies \ Microsoft \ Internet Explorer \ Restrictions
3. Create a DWORD value called NoSelectDownloadDir
4. Give it a value of 1

Note: On my Win98 with IE5 this also didn't allow me to download any files.
System Administrators might want to include that as part of their configuration.