Online services download location

[TweeZer]

I use the Song of the Day online service via Winamp. When I first started downloading the songs instead of streaming them it prompted me to select a download location. By accident I chose the wrong location. My problem is that I can't find how to change the location. I have searched all throughout Preferences and Winamp forums and blogs and can't find the solution. I'm sure it can't be that difficult. Please help!