Currently you can only save to your default save directory. This has two
serious problems

1) It doesn't let you rename files and a lot of documents have really weird 
   names like "0eafji3a.pdf", having to track that down based on what you 
   glimpsed in the download manager and rename it is something you would
   have to do directly, which results in a lot of more work than doing it 
   before downloading.

2) It doesn't let you save files in a structured matter, for example, I'm 
   having a class with a laboration, this laboration has a number of
   documents that all is about it. I want to put them in my "Laboration 1" 
   directory. With the current solution I first have to download them all, 
   then I have to find those documents, among all other files I've 
   downloaded, and move them, this can be pretty hard.

Either always show a dialog when rightclick-save link (would be my
preferred solution) or add a "Save link As..." menu item aswell.