On e-learning, there are .pdf files that I want to save to a specific folder on my mac, but when the open save option comes up, it does not allow me to choose a specific location, what's up with that?
That looks like Firefox and it is not a "save dialog", it is an "open dialog".
Once the .pdf is opened in Preview or whatever other application you like, you can save it to wherever you want.
Or go to Firefox Preferences and change the default download folder.
Or right click on the link to the .pdf file and select "Download linked file as" or something similar worded.