This feature is only available for the Microsoft Teams client on Windows and macOS, if you are using Teams in the browser, the downloaded files will be made available to the folder defined in the browser settings.
1. Click on the ... (three dots) next to the profile picture
2. On the menu click on Settings
3. Once in the Settings window, click on Files and links
4. In the Downloads section, change the default location for your files
5. If you want to choose the location for every file downloaded, toggle the option, Always ask where to save downloaded file
https://competenz.freshservice.com/support/solutions/articles/5000083303