In Windows, you'll get a box with the default save location and a browse button (so you can choose where to save the file if you don't want it where Windows chose to put it). The Finish button will do the actual save to whatever location you chose.
(You'll have to add the phone to Windows as a Bluetooth device. Then go to the start menu, type bluetooth and you should get a Bluetooth File Transfer item. Choose that and choose to receive files. Then start sending.
Wifi File Transfer is a lot easier.