The MP3 will save to whatever directory anything else you download from the internet saves to. By default, this is normally your "Downloads" folder (C:\Users\%YOURNAME%\Downloads on Windows). To change this (if you want to), you need to open your browser's settings and select a directory.
Click the menu button, select options, then select options again. On the General tab, there will be a "Downloads" section. Below that, there is "Save files to", then a directory. Click browse, and select where you want them to be saved.
Open your Wrench menu (far right of the screen) and select Options. Choose "Under the Hood" on the left, then go to Downloads. Where it says "Download Location:", choose your desired directory.
For Internet Explorer:
Google either "Download Firefox" or "Download Chrome", install one of those two, then follow the above instructions.