MW3 is downloading 2 times on steam. First single player which is ~7GB its downloading 14GB, so i'm hoping it will download multiplayer too, but its not, and i have to download multiplayer which is ~7GB also, and it's downloading 14GB again! :D And I can't pick folder in which to install. That's not cool at all Steam!
If it is the same as with MW2, this is just a glitch in how Steam represents those download. It is actually downloading everything only once, but lists it twice in the Downloads view.
That's also why you can't pick a separate download folder, because they're the same.