Hi,
The folder should be in the "My Recipes" directory and be saved automatically. However, if you have a permissions problem (i.e. you are running as a non-administrator and don't have permissions to write to the BeerSmith directory or its subdirectories) it can cause problems. By default the directory is C:\Program Files\BeerSmith, and you need to be able to write to it as well as write to all of the files/directories under it.
Brad