Try this, if it still only concerns the SDA:
JUST A DISCLAIMER > DO IT ON YOUR OWN RISK
Open Windows Registry Editor (regedit.exe)
Browse to the location:
HKEY_CURRENT_USER\Software\JavaSoft\Prefs\net
Select the Steinberg entry and export it (as a backup)
Then delete the key then close the Registry editor and open SDA again. It should now set the download path to the default location.