Save in: select the location you want to save the files to by clicking on the down-arrow icon at the right of the "Save in" text-box and navigating to the location of your choice on your computer.

File name: Leave this alone. You can change the file name later, after you've saved it, if you want to.

Save as type: Click on the down-arrow icon to open up a list of choices and choose "Webpage, complete" or equivalent option (may not be worded the same in all browsers).