Shared space is the only place visible and accessable from sandbox and from real os, so if you save files there, you can see them in shared space. But that kinda undermines security a bit, since files started from that folder have access to the real system.
I have created a folder on the desktop called Non-virtual downloads
In sandbox exceptions I added this folder
In dragon I changed the download location to this folder on the desktop and ticked the Ask where to save each file before downloading box
Now I can choose where to save each download but with the Non-virtual download folder on the desktop been default
The other exceptions are for bookmarks and extensions, pls note that although allowing these things are relatively safe, every “hole” you create in the sandbox is a potential leak
With this in mind I use a portable copy of Dragon with NO sandbox exceptions for high security sites such as banking etc
By default CIS has non-virtualised “Shared Space” so you can download there. If it is so important for you to download to the desktop then you can make it non-virtualised as it was shown by Treefrogs in the post above.
Or you can enable the showing of hidden folders then navigate to C:/VTRoot which is like the sandbox container and from here you can navigate to where you downloaded the things, very good if a sandboxed application automatically makes a log file that you need, because you can just navigate there and copy it to your real system.