yes, there is a games folder either in the E: or F: folder on your Xbox. You would transfer it there. Mine is in my F: folder. if you do not put it in the correct place i do not think it will show up when you try to use the "play games from HDD" function on your dashboard.
Yeah, should be saved to E:\Games or F:\Games If u don't have that directory then go to file manager and make one.