I can see several ways to save to your Desktop.
Click on your home folder (geoffwalton), and the Desktop folder should appear as one of the listed folders.
Click on Desktop, then click Choose.
Or, click on Users, then browse into your geoffwalton folder, again select Desktop and click Choose.
Either will work.
Or, even easier, cancel that screen. You should be able to just drag-n-drop your attachments out of your email body to your Desktop.