You hit the Save button, and typed in your File name. When you pressed the green Save to my computer button at the bottom of the save page, a new box popped up to show the folder where your computer thinks you want to save photos. You probably confirmed this by clicking the Save button because you were more focused on the filename (which it had correctly retained from the previous screen). Unfortunately, the Monkey isn't involved in this step of the process. So, if you've saved a photo and you can't find it, try saving another one and pay special attention to the folder your computer has chosen to save it to. You'll most likely find your missing image in that folder.
If you're using the snappy left-click to save in Chrome, check in your downloads folder, it should be there!