When you download a game it comes in basically two forms, with two extensions:
.zip or .rec. The prior requires you to unzip the file so you may have to download a copy of Winzip (trial version is free but it' good to pay these folks in the long run to support their valuable efforts). Once you've unzipped the file you can move it to the game folder with the move command. The .rec suffix means you don't have to unzip the file, simply move it to you save game folder. Otherwise, as suggested by Dark Knight, when prompted to save the file, direct it to the save game folder. I haven't tried that approach but it makes sense. Hope this is helpful to you.