From your browser or your camera?
From a browser:
To download your images to a specific location, right-click the image and sellect "Save as..."
In the dialog box that follows, just sellect the folder where you want to save it. You may optionaly give it a new name.
If you save your images in the folder that your slide show screen saver use, then, the screen saver should pick them and use those new images in addition to the previous ones.
Nothing broken here, just the normal execution of a simple feature.
You may set your screen saver to use another folder if you want.
From your camera, it depends on how you do the transfert and the destination of the transfert.
It's usualy beter to simply connect the camera and use the explorer to copy the images to the desired location, treating the camera as a removable drive.
If you use the provided transfert utility, it often do things that you don't want, like renaming the images in reverse oprder with any images taken after you deleted a bad shot been given an incorrect sequence number...