You can create a folder anywhere on you computer (including an external drive) and save it in there. When you get to that window that you posted, just hit browse, find your folder, open it and save it there. Easy as pie.
PC Win 10 Pro 64-bit 16gb Intel® Core™i7-2600k Quad Core 3.40GHz
Cameras: Canon XF305 + Canon XH-A1
Blackmagic HyperDeck Studio Mini
Vegas Pro 16, User since Vegas 3.0