Important: Create a folder on the C: drive called C:\HJT.
You can do this by going to My Computer (Windows key+e) then double click on C: then right click and select New then Folder and name it HJT.
Unzip HijackThis into this folder. When you run HijackThis from this folder and have it "Fixed checked" it will create a backup file of modifications to use if restore is necessary.