You choose save to disk.
Then when the window comes up you select the file path as I listed it above.
The other choice is to have a file, possibly on your desktop, where you save the files and then move them to the scenarios folder later.
I have a folder in "MY Documents" called CIVics that I use for many downloads. I find it useful for grpahics files but I prefer to save .SAV files right into the saves file in the Conquests folder. I don't do scenarios anymore