It probably just means save it to a folder where you'd know how to find it again. There isn't a specific folder that you have to save it to - all that is sorted when you run the installation file.
I never save the drivers I download as when I come to reinstall them, there's always an updated version! As for knowing if you need the latest driver, you always need the latest driver! For any piece of hardware always download the latest driver (the latest stable driver, not betas) as it'll have all the latest updates and bug fixes!
Hope this helps!
Matt