What I did was make an alias to my Samba share and put it on my desktop. When I want to download to the Samba share, I can choose to download to the alias I created on my desktop and it will logon to the Samba server and download directly to the Samba share. Maybe with future upgrades this won't be necessary, but until then, this is the only way I have found to download directly to the Samba share.
[Editor's note: I can't verify this one myself, as at the moment, I can't seem to get Windows2000 to recognize my password from my Mac, so no Samba share to connect to!]

