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 panel, a new box popped up to show the destination folder where your computer wants to save photos. 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, search for the filename. Or, try saving another one and pay special attention to your computer's chosen destination.
If you're using the left-click save option in Chrome, check your downloads folder. It should be there.