Every time you use PDF exporting, the application provides you with a dialog window where you can choose the path on your computer. If you have problems exporting the PDF file, re-install the product. Additionally, if you use the printing to PDF method, re-install the PDF engine as well.
You should also look in the Program Files under the Micro Payroll System installation folder and on your Documents folder. That's the default directory for storing most of the scanned files or default items.