There are many ways. 1) drag the image2) take a screen shot3) control click the image and save it to your desktop :)
ยท Save current to save currency
Right click the image, then click "save image as..." and save it under whatever file you want
I am running Tux Paint on Ubuntu 9.04 Jaunty Jackalope. Tux paint did not ask where to save the image. I could find the saved image in ~/.tuxpaint/saved
In windows based systems you can typically copy and paste images from a CD to a folder of one's choice.