Is there a way to make Internet Explorer 9 always prompt for download location?

According to a Microsoft forum post, Internet Explorer 9 set default download action: Save As, this option is not available... It seems quite rudimentary, but they removed this capability. The best you can do is change the default location to somewhere you'll easily get to and move files around.

To change the default location (I changed it to my desktop, the easiest location), select menu Tools -> View Downloads -> Options and change the location.