Hopefully someone that has colorworks can help you. However, you should be able to change the destination before saving. Do you by chance have the colorworks already open?

You can try right clicking on the download button and save target as
This is not the site that is doing it it is your PC for some reason
You can also try going to an embroidery design and right clicking on it and choosing what program to open it with and there should be a popup that says do you want to use this program for all these types of files yes

It has nothing to do with color works I believe. Since these are not zipped files your computer randomly chose color works. Once you come to "save as" choose where you want to save the files and that should fix it. At least in my case they always get downloaded in the same folder unless I change it.

You have answers to your question, but I want to welcome you to the Cute family. Keep asking questions. We like to answer them.