When you click "save" (which is what you should do, btw), the .zip (or .rar, whatever format the addon is compressed to) gets downloaded to wherever you have your Browser set to download files to in its options. Then you will have to unzip/uncompress the file and move the folder into your AddOns folder in your WoW directory.
If you are unsure where your download location is set to, open up your browser's options/preferences window to see. Alternatively, you can search your computer for the name of the addon you have downloaded.
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"You'd be surprised how many people violate this simple principle every day of their lives and try to fit square pegs into round holes, ignoring the clear reality that Things Are As They Are." -Benjamin Hoff, The Tao of Pooh
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