by default it should create folder C://Users/YourUsername/AppData/Local/gun-procgen When you save gun first time. You can't find it? Try to write in a search "%AppData%" you will come to AppData folder
in object0 in draw event put this string before surface_save like in a picture. then try to save gun, it must open window where you will choose save location.
string to put: number=get_save_filename("screenshot|*.png", "")