Your downloads are saved automatically. The default location for Windows is C:\Documents and Settings\your username\Shared. Unless you've changed the location for saving...that's where your downloads live.

It's up to you whether you want to change the location for saving. I just stick with the default location

Did you try the file > add file to library thing? Some people do have probs with dragging & dropping (don't know why) but that other way usually works.