Next choose “Network Drive (Z:).” That is your computer on the network. Drop down that file destination and then find your Desktop. Once that is found you can double-click on your preferred destination for the download. This is why I suggested creating a folder on your desktop. I will be saving to that location.

Save PDF File navigation window showing Quick access and Network Drive File dialog showing highlighted Network Drive (Z:) and Desktop option
File Explorer showing VMware DL-Test destination folder highlighted