An album consists of many files and is therefore saved as a folder. In the "Save Album" window, you specify both where to put the new folder and the name of the new folder.
The location will default to the same as that of your most recently accessed album. The very first time, the location defaults to a folder name "WebAlbums" in your "My Documents" folder.
The folder name will default to your album title (minus any spacing, because web folder names should not include spaces).
There are a few different ways to open an existing album for editing: