Assuming the 'Always ask you where to save files' checkbox is checked:
If the user is DLing one file, ask where to put it. Done.
If the user is DLing more than one file, bring up the dialog box asking where to put the files, which includes a sticky checkbox stating, 'Put all files in this DL session into the same folder.' If that box is checked, DL all files to that selected folder using the FF DL manager. No need for any additional dialog boxes. Just do the work on the back end.
If the user doesn't check that box, then ask for every single file the way it happens now.