You cannot change the default video download directory. The default download directory is AppData\LocalLow\Ant.com (Windows Vista or Seven) or Application data\Ant.com (Windows XP) within user's home directory (which is typically C:\Users\ for Windows Vista or Seven, and C:\Documents and Settings\ for Windows XP).
Important note : Alternative option for Internet Explorer users of add-on 1.9+
However, for Windows Internet Explorer users, you can switch your browser into InPrivate Browsing mode, and in this mode you specify video download location (using Save as dialog) each time when you download a video. For more details see the article [How to use Ant.com toolbar in the Internet Explorer's InPrivate Browsing mode]