Change Folder
Select the folder you want the mp3 saved at. If there is not a folder that you want to save it in, choose the location you want the song in and click Make New Folder
For example I want a new folder in My Documents to save the music in. Here is what I would do
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Click Change
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Click Computer
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Click Local Disk (C:)
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Click Users
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Click Jesse
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Click My Documents
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Click Make New Folder
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Now you have a new folder. You can rename the folder to what you want it to be. Then click on the folder
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Click OK