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You don't have to make another folder necessarily. You can move the items into your existing 'My Documents' folder or similar. Even into your 'Downloads' folder. It doesn't matter too much. Otherwise, you can right-click on the desktop or in My Documents or similar, and choose 'Create new folder' from the menu that comes up when you right click.
To move them, it depends a bit. Does it give you an 'extract' button? If so, click that and it will ask you where to extract them to, and then move them for you. If it doesn't, you might be able to right click on the item, and then choose copy or cut, and then go to the folder where you want to put them and right click and choose paste.
Let me know if you're still having issues. I'm not exactly a tech whiz myself, but I'll help as much as I can.