Save it to the directory where you installed mIRC.
For Windows ME and XP that's usually
C:\Program Files\mIRC For Windows 95 & 98, it's normally
C:\mIRC If you didn't install it to the default location, then you'll have to locate the directory that you did install it in. One way to find this is to start mIRC, then in a window (doesn't matter which) type
That will show you the directory where mIRC was installed.