Paul - are you asking about setting a printer to "print to file"?
Or - about opening a photo (or text document), hitting Print, then choosing Print to File?
Or - about Printing as PDF?
If the first, the location it goes to is determined when you set up the "print to file" printer and filename in system settings.
If the second, you determine the location when you hit OK under Print to File. I usually just choose Desktop so it's easy to find.
If the third, you're creating an Adobe Acrobat PDF document, and again, you determine the location when you hit OK after choosing Print as PDF.
Is that anywhere close to what you're asking?
Tom