'Download' saving place option

[Darkmaster006]

How can I configure where the screenshot I'm saving is going to save? Rather, what I would like is that after I click download, the menu that opens gets me directly to the last place I downloaded a screenshot, and not to my 'Downloads' folder. Is there any way to do this? Does the program set it itself or is it Windows? Thank you.

[Darkmaster006]

preferences > general > Files and Applications > downloads > Always ask you where to save files

I already have this preference set. What I want is for the Download option to open the window in which I last saved a screenshot. Is there any way to do this?