I can help if Chrome is your browser. If it isn't, check your browser for this feature:
In your Chrome, click "Settings", then click "Show Advanced Settings" at the bottom of the page.
Scroll down until you see "Downloads". There will be a box to tick that says "Ask where to save each file before downloading". Tick that box. Done.
They cannot automatically download. The process will stop and ask you where to direct the download. At that point, you can cancel it. xx