You can set the default download location for the browser, but you won’t be able to access the save dialog box as it is controlled by operating system.
When setting up your Firefox profile you add a call to set the property browser.helperApps.neverAsk.saveToDisk to a comma separated list of MIME types to always download:
firefoxProfile.setPreference("browser.helperApps.neverAsk.saveToDisk","text/csv");
FirefoxProfile firefoxProfile = new FirefoxProfile();
firefoxProfile.setPreference("browser.download.folderList",2);
firefoxProfile.setPreference("browser.download.manager.showWhenStarting",false);
firefoxProfile.setPreference("browser.download.dir","c:\\downloads");
firefoxProfile.setPreference("browser.helperApps.neverAsk.saveToDisk","text/csv");
WebDriver driver = new FirefoxDriver(firefoxProfile);//new RemoteWebDriver(new URL("http://localhost:4444/wd/hub"), capability);
driver.navigate().to("http://www.myfile.com/hey.csv");
For further understanding, you can refer to the Selenium Training.