They will automatically go to the HDD i.e. C drive. Now there are several options. Please expand on what you are wanting to do.
You can Add different Folders or you also can do what I did. Directed everything to my 250gb external HDD. Just a few options there.
To Find the shared/saved Folder on your HDD, While in LW click on the Library tab. Now click on explore in the lower left corner. This will take you to the saved/shared folder Outside of LW. Hope this helps.