Newbies are what we're here for. Believe it or not I'm still a newbie after 3 years.
A directory is a folder. There is a mini-guide on how to create a new one here:http://www.bleepingcomputer.com/forums/t/43611/creating-a-new-folder/
Not sure that will fit your situation exactly, since i doubt you would want to put a program in you My Pictures folder. But you need to pick a location (which is actually just another folder/directory) that you'll know how to get back to, such as My Documents or your Desktop.
Also knowing what it was like being in your shoes not long ago and not knowing what Windows Explorer even was, let me ask you exactly what it is you are trying to do. Have you downloaded the program already? I get the feeling you may be talking about the Save
dialogue box. See Figures 2 & 3 in this tutorial and let em know if that is what you are seeing and we'll take it from there:http://www.bleepingcomputer.com/tutorials/how-to-post-a-hijackthis-log/
If that's not it, let me know what program you are dealing with and the steps you have taken so far, and I'll try to let you know what the steps are that you need to take.