If you're using Firefox, press the icon, check the Save File option and click OK:
After that, select a destination directory, enter a file name and press Save.
If you're using Chrome, press the button, select a destination directory, type a file name and press Save.
On Internet Explorer, you need to move your mouse arrow at the bottom of the page and to press . Next, you need to select a destination folder, to enter a name for the file and to click Save.
Note: If the documents are already downloaded on your hard drive, you don't need to save them anywhere, but if you want, you can do this with Cut/Paste feature.