This is a bit geeky — if you don’t have a Mac with Bootcamp installed, it’s not going to make a lot of sense. (Bootcamp is a program that allows Mac users to run Windows, and Windows programs, as described on this Apple support page).
However, if you do have a Mac with Bootcamp installed, you may have run into the problem that OS X (the Mac operating system) won’t save files to the Windows partition of your hard disk. Fortunately there is a fairly easy fix for this: NTFS-3G for Mac is an open source driver that allows OS X to write to NTFS volumes (ITspeak for hard drives that saves files the Windows way).
To install it, download the package and run the installer. When the installer completes you’ll need to restart your Mac. Once all that is out of the way your Mac will be able to save files to your Bootcamp partition or any Windows-formatted hard drives you plug in from Finder.