Hi Xiaoz,
When I click a button to download a Market asset I get a prompt to select which Library to save it in

You might want to try these two things and see if they help
Solution 1
1) Reboot the computer
2) Choose the Check for App Updates option in the top right within the Creative Cloud app
3) After that process completes try downloading the market asset again

Solution 2
1) Go the Libraries section online at Adobe Creative Cloud and sign in with your Adobe ID
2) Create a new Library using the option from the Action menu in the top right
3) Try downloading the market asset again

Please let me know if these help,
Thanks,
- Dave