Select "Save Target As..." or
"Save Link Target As..." from the
pop-up menu.
Double click "My Computer" icon on
the left.
It will display a list of places where you can save your file, you should
see a line with your account name (that is H:
drive). Double click on it to open. Click on "Save" button at the right bottom. Now your
file is saved.
Notes
When they ask you to save your work, you should always save it in your
account. Make sure you save it as often as you can. By doing that you will
always have your latest works.
When they ask you to save your file as Work_FirstName_LastName, it means
you should replace "First Name" and "Last Name" as your first name and last
name.