The capture utility automatically detects the default video and audio input device for capturing. If there are more devices attached to your PC then the desired device needs to be selected before you can capture from them. Device selection and many more options related to capture are provided by Capture Options. To access capture options select Options from the Capture menu.
You can choose what folder to save captured files into here. Either type the full path to the folder, or click the Browse button and select it.