It saves the songs in c:/, I suggest you visit this from time to time to move and copy the songs that you have been listening to and like. I found no way to change the download location, there is actually no configuration file at all. This will be added in a future release probably. Make sure you register with Pandora to hear an unlimited amount of songs, the guest account is only good for a few songs after it asks you to register to keep listening.

Update: 3Tunes is no longer available. A viable alternative to rip the Pandora stream is Stationripper which I have reviewed here on Ghacks as well. Stationripper is a free software for Windows to download and save Internet radio streams. It supports a wide variety of streaming services, including Pandora. Only the commercial version of the software can download Pandora streams though. An alternative is Audials One, also commercial.

You can alternatively look at my new guide on how to download Pandora Radio to your computer. It uses a free Windows software to achieve that, definitely worth a look.