Hi Lynne,
This is an Internet Explorer 7 (IE7) issue in Vista. In IE7, towards the bottom right of the screen you'll see the little globe and Internet | Protected Mode: On (or Off). When Protected Mode is on, Ancestry census images download to a temporary file, after which they are virtually impossible to find. But if Protected Mode is switched off, you can just download the images to whatever folder you choose.
To switch it off, just double-click where it says Protected Mode at the bottom of the screen, and then untick the box next to Enable Protected Mode. You may need to close and restart Internet Explorer for the change to take effect.
If you like, you can just turn Protected Mode back on again once you have completed your download.
A little more about Protected Mode from the Microsoft site:
Internet Explorer Protected Mode helps protect users and their systems from malicious downloads by restricting where files can be saved without the users consent.
In Protected Mode, Internet Explorer 7 in Windows Vista cannot modify user or system files and settings without user consent. Protected Mode requires the user to confirm any activity that tries to put something on your machine or start another program. By ensuring the user consents to these kinds of actions, the likelihood of automated and/or unwanted software installation is reduced. This feature also makes you aware of what a website is trying to do, giving you a chance to stop it and take time to double check the trustworthiness of the website.
More info:
Internet Explorer Protected Mode