Eldude,
The location is determined by the code of the bash installer script for that program.
If it's downloading an installer from a public URL, the line of code will look like:
POL_Download "http://path_to_your_game's_installer.exe"
I haven't tried installing things directly from the Windows-version of Steam, but for the few installer scripts that install Steam games actually send a command to the Steam client, such as:
POL_Wine "steam.exe" steam://install/12345x
Where "12345x" is the game's internal "AppID", which can be looked up via https://steamdb.info/
If you're installing the program from within Steam and Steam is having trouble downloading the file, then it may not be a PlayOnLinux issue.
Hope that helps. 