I don't use PIE, and I've struggled with trying to set Opera's default download location. There is an option you can change, or add if it's not there, in the \Windows\Opera9\opera.ini file. See this
thread, but I could not get it to work. Perhaps you'll have more luck.
As for BT, launch the app, open the File Transfer option for the device you're connecting to, then tap Tools, Set Local Folder.