This is due to the apt-get configuration.

Looking over the apt-get manual (this is what runs under update manager), I found these entries.

/var/cache/apt/archives/
Storage area for retrieved package files. Configuration Item:
Dir::Cache::Archives.

/var/cache/apt/archives/partial/
Storage area for package files in transit. Configuration Item:
Dir::Cache::Archives (implicit partial).

So you need to dink with the configuration of those items (and stare at teh manual a lot) to make it redirect.