funny, when i tried it, it went to the 1.4xxx DLer, then went to Lich King DL.
Mals went from 1.4xxx to a 3.3.5-4.1x DLer (hers didnt ask which folder to place either). Lucky she has 40GB free on her C drive... i have 3gb...
EDIT: so aparently it auto sends to your C drive... found it in mine when i looked in the same place as Mals, if i could read chinese it might tell me how to change it. Guess i am waiting to copy Mals files...