It sounds like a “print to file” port is configured for your printer, so that whenever you print to your printer the computer is actually trying to create files with the print information in them on your computer's hard drive.
I'm guessing you've installed your printer (software, interface cable, etc.) onto your computer already, if not you'll need to do that first. Usually when installing a printer it will ask if you want this to be your default printer, check the box or select “Yes” as needed. This should take care of it, but if you didn't do that when you installed it then you'll need to do the following (though I don't think this is your problem, but just covering it just in case, there's more to try after this below):
It could be an XPS or similar type printer that only prints to files is selected as your default printer. A simple way to check and change the default printer is to open a document you wish to print, go to the menu bar at top and click on File, move down the pop-up window to Print... and click on it. In the Print pop-up window find your printer in the window at top (provided it is installed on your computer) and right-click on it and then click on "Set as Default Printer" then select Print or Cancel at the bottom. Now shutdown the application you used, otherwise it may still try to use the old printer selection. Now whenever you click on the print icon it will print out on your printer instead of going to a file.
If you still have the "Save As" problem then the problem is your printer is setup for the wrong port in the properties section of the printer setup, a “print to file” port instead of a standard communication port to your printer and you'll need to change it.
For XP:
Go to "Start", select "Settings" then "Printers and Faxes"
Right click on your printer and select "Properties"
Click on your "Ports" tab (then see below)
For Vista:
Click the Start button, then Control Panel, now Hardware and Sound, and then click on Printers.
Right click on your printer and select "Properties"
Click on your "Ports" tab (then see below)
The problem is your current port setting for your installed printer is set to "FILE: Print to File" and as such is trying to print the document to a file on your hard drive instead of to the port that your printer is actually connected to. Scroll through the list of available ports to find the port that your printer is connected to (probably USB {may be named like DOTsomething} or LPT1 or whatever you have) and check the box next to it and click the OK button at the bottom of the window - that should fix your problem.
Best of luck