In a folder on the desktop should be fine

. Shouldn't get that message there.
You can also do the following;
Click My Computer, then C:\
In the menu bar, File->New->Folder.
That will create a folder named New Folder, which you can rename to "HJT" or "HijackThis". Now you have C:\HJT\ folder. Put your HijackThis.exe there, and double click to run it.
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