By default Chocolatey uses the Temp Folder for downloads. However that is sometimes blocked by Group Policy and/or other things. To change that you need to adjust the cache location in your choco config file.
If you are on less than 0.9.9.9, you will need to do that manually by opening the config file located at $env:ChocolateyInstall\config\chocolatey.config and changing the cacheLocation value.
If you are on 0.9.9.9 and above you can simple use choco config set cacheLocation fullPath. See [[Config|CommandsConfig]] for more details.