How to change the default download directory with IE (Internet Explorer 11)

According to this answer from Jim Evans, who is heavily involved with WebDriver for Internet Explorer, this isn't possible:

Internet Explorer doesn't use profiles. It's a limitation of the browser itself, not the IE driver. As such, there is no way to automatically download files to a specified location with Internet Explorer.

Also:

As far as I am aware, there is no difference between Microsoft Edge and Internet Explorer with respect to using "profiles." The profile is still tied to the logged-in user account in Windows.

So, in a sense, the directory already is specified. The point is that you can't override it via WebDriver.

It's not possible through the driver, but you can define the location with this registry key:

HKCU\Software\Microsoft\Internet Explorer\Main\Default Download Directory