Drupal - How can I tell Drush in which folder should a module be copied?

You can default this to, for example, sites/all/modules/contrib, in your .drush/drushrc.php file.

$command_specific['dl'] = array('destination' => 'sites/all/modules/contrib'); 

Also note that you won't be able to exclude the 'modules' part of the path, as Drupal uses this to scan for modules.

There are 6 places this file can live:

1. Drupal site folder (e.g. sites/{default|example.com}/drushrc.php).
2. Drupal /drush and sites/all/drush folders, or the /drush folder in the directory above the Drupal root.
3. In any location, as specified by the --config (-c) option.
4. User's .drush folder (i.e. ~/.drush/drushrc.php).
5. System wide configuration folder (e.g. /etc/drush/drushrc.php).
6. Drush installation folder.

I've not tried it but apparently.

drush help dl

--destination Path to which the project will be copied. If you're providing a relative path, note it is relative to the drupal root (if bootstrapped).