Any time you press the save button, the file will be saved to it's current directory location. So this means that you must use Windows Explorer to move the file to the specific directory you want it to remain in.
Now you will have to navigate within PSP to find the file to open (or simply double click on a PSP layered file), and when you press save, it will overwrite the opened file at it's present location.
If you want to save another copy of the file to another location, use the 'save as' menu option, and from here you may specify the directory where you want the saved copy.