If you want the downloads to go to the Windows partition ( username /
downloads ) then that's possible but you first have to mount the
Windows partition. It's possible to have this auto-mount when booting
into Ubuntu but involves a little command like work - the page here
has the info and the lines to copy/paste into terminal. Method 2 is
probably the better one as it enables a graphical tool to do the job.

ubuntuportal.com/.../heres-two-methods-to-mount-automatically-ntfs-dr\
ive-in-ubuntu-12-04.html

Note that when pasting into terminal you hold down [SHFT]+[CTRL]+[V]