Hello, theking2
I am Igor, an Independent Advisor and I will be glad to help you with this question.
Files you download from Teams will show up in your device's Downloads folder. (Currently, the download location can't be changed.)
https://support.microsoft.com/en-us/office/down...
There is a request to implement this possibility which the developer team put in Backlog. I would you to vote for this and also input your comments and feedbacks:
https://microsoftteams.uservoice.com/forums/555...
Hope it clarifies your question.
Best Regards