Ok solved your issue.
Since the book is circa 2006 it will be written generally for the OS of that time (XP) there is such a place in Windows XP however not on Vista/7.
So what you need to do is just create a new folder similar to C:\Websites\Projects or something and tell the software to point to that.
What happens is when you create and save websites, all the related HTML file written go into this folder (Similar to what a web dev would do on a FTP) so you can view the website on your PC before actually using it.
I will offer some advice to you, I love your ambition to learn something and buy some books etc, however I would advise to use the free tools on the web first and when you feel comfortable doing HTML buy the more advanced books, and when you start making good money off it buy the basic books as you will always refer to them, and there is nothing more pleasing then someone you know starting to learn and you lend them the book or give it to them for their own use.
Anyways, let me know how you get on, I will surf around and see if anyone else has a solution incase it does not let save to a specified folder anywhere.
Thanks