When downloading PDFs, they do not save to the download folder I assigned in Firefox - what can I do to fix this?

I am running Windows 8.
Every time I save a PDF it opens in UserName - AppData - Local - Temp
I have tried changing the download location in Firefox.
I've also Googled this problem and IE has the same issue - the fix for IE is declaring the site as trusted, but Firefox does not have a trusted site option.

I am aware of that.
My actual actions taken are:
I open the PDF
I hit CNTRL + SHIFT + S
The Safe Box with the temp folder selected pops up.
I access the file I wish to save in from the directory tree (I go to my username - documents - the folder - the sub-folder - the next sub-folder and then save).
Once a month I need to save 30-40 PDFs in the same folder in a short amount of time - in Windows XP the last folder saved in would become the default, which would be great. And again I found the work-around for IE, but I really like Firefox, and want to use it for this, if possible.

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