Safari 5.1 downloads to the same location under Lion that it did under Snow Leopard. It downloads to your ~/Downloads/ folder. The major differences between Safari 5.1 and earlier versions of the browser are the downloads progress bar and Downloads window. When you initiate a download, you should see a tiny icon leap to a little icon in the upper righthand corner of the browser. The leap is reminiscent of the leap of the the leap that an app makes from the App Store to the Dock. The little icon shows a tiny progress bar. If you press the little icon, then an equivalent to the old Downloads window will drop down to reveal everything that you have downloaded and everything that you are currently downloading.