Right Click your Desktop Create New Folder or New , Create New Folder. (at least for Windows) Drag and drop or copy paste PDF files into the New Folder which you Named what ever means to you. If trying to save when downloading need to go into Options then Tools , General and under Downloads tick Ask Where To Save Files. I would check your MacOSX support forum for further help on issues like this. Please let us know if this solved your issue or if need further assistance.