Thanks, King. I didn't think to search for it -- I assumed it wasn't doing anything.
For future reference, Here's where it puts them:
Using XP it puts them in "<XP drive letter>:\Documents and settings\<your Windows identity>"
Using Win98, it puts them in the root directory that Win98 is in.
(By the way, i've got a duel boot. That's how I found out where it put these things; since I didn't think the program was working, I thought it was because I was using XP, so I tried with 98 too.)