Hi,
This should be possible with Group Policies, you can follow along here:
Restrict user from saving on their Desktop, My Documents, My Music, My Videos, My Pictures etc. via GPO
Group Policy Prevent Saving to Desktop
Another way would be to use folder redirection to a network share:
https://learn.microsoft.com/en-us/windows-server/storage/folder-redirection/deploy-folder-redirection
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Best regards,
Leon