magg's post in Sites blocking ABP was marked as the answer
You can install Violentmonkey extension first http://extension.maxthon.com/detail/index.php?view_id=1680&category_id=.
Then install this script for it https://greasyfork.org/en/scripts/735-anti-adblock-killer-reek
After all add these custom filters to ABP :
magg's post in Selecting download directory was marked as the answer
So far there is no such option you wanted in MX Downloader.
You can always use another downloader from list below : (to change default downloader to another one go to>> Maxthon settings>>General tab>>Download Setting)
Maxthon Thunder Download
Download Accelerator Plus
Internet Download Accelerator