When you click on the link to download the file, right click on it instead. a menu will appear - choose save target to disk, and you'll get a chance to save it where you want.
IF that doesn't work, when a temporary file like that is saved, it's saved to a Tmp directory. Probably c:\temp\ - search your hd for a temp folder. While you still have winamp open, go to that folder, find your file, copy and then paste it somewhere else to keep it for later use.
Avian
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