You can save the .GAS file wherever you'd like. A folder will be created with the same name (without the extension). This newly created folder will contain all of the files that you grab, and some database files that are necessary for Grab-a-Site to keep track of where it has been and not go into a loop.
C:\Temp\MySite.GAS - Your original .GAS file
C:\Temp\MySite\ - Folder where all the files for the MySite project are stored.
C:\Temp\MySite\GS*.DBF - Databases that Grab-a-Site uses to track where it has been.
C:\Temp\MySite\src\ - Location of html files
C:\Temp\MySite\src\www.somedomain.com\ - Location of files from http://www.somedomain.com if "Use domain in directory" is set.
C:\Temp\MySite\src\www.somedomain.com\somdir\ - Location of files from http://www.somedomain.com/somedir/ if "Preserve Site Structure" is set.