We have also experienced this same issue and would like to know how to specify a default folder location. Please
let me know if you receive an answer to this inquiry.
1-go to "edit", select Preferences.
2-select from the left pane: Security (enhanced)
3-click on "add folder path" button just below the big white box
4-pick a folder of your choice and click "ok". (your selected folder path will appear in that white box above the "add folder path" button in step 3)
5-if you want to add additional folders, just repeat steps 3 & 4
6-once you are done, click "ok" on the preferences screen and click "ok" again to accept the changes.
Yes, it seems illogical, but it worked.
I tested by closing the Reader (X), then surfed the web and did what Neher5 was explaining he/she wanted to do just after opening a pdf from a website and lo-and-behold, it worked!. No more "save to temp folder" issues.
Hope this helps.