Currently the only way is to take a screengrab and save that. With version 1.3, when displaying an animated gif you can export an animation by pressing F8. But for still images, you still have to take a screengrab
I guess it is in whatever is the current path when you run it. Might be where the .exe is or where the image is. It only saves a gif if you are displaying an animated gif though, not if you are displaying a still image png/jpg