This usually happens when the last thing you saved was saved to a floppy
disc. All you should have to do is hit cancel and that should take you to the
main drive selection page (like what you see when you first open Windows
Explorer). Then you should be able to save the file okay, and it should stop
asking for a floppy disc. The 'Save As...' function tends to automatically go
to the location where you most commonly save the particular type of file.
Example: You save all your install/setup files in one single folder called
'Installers'. Then every time you go to save a new install/setup file, it
automatically takes you to the 'Installers' folder due to the type of file
your saving.
It's the same concept as when you try to save a photo and it automatically
takes you to the 'My Pictures' folder under 'My Documents'.