|What I would do is ---|
up at the top of that window to the right of Save in: click the
down arrow, then find and navigate to My Pictures, then click that
to get it into the "Save in" box.
Don't forget to NAME the picture below, next to "File Name"
As for myself, I created a folder called "Downloaded Internet Files" , and did the "Save in" for that location. Then I know where all those files went to.