Hello,
You can save SAM files (.zsam) anywhere on your computer. SAM uses your computer's operating system (Windows or OS X) to determine what folder it opens when you click the save button. It is up to you to navigate to the folder where you want to keep your files.
If you save a file and then cannot find it, try searching your computer for all files with the .zsam extension. For example, in Windows, you can use the file browser's search function to search for '.zsam'.
Best regards,
Paul.