Question about exporting mail from WLM

I just got a new PC and I want to export all my emails from my storage folders in WLM 2011 to WLM on my new PC which is Windows 8.1.

I have follwed the instructions from the Microsoft how-to as shown here

http://windows.microsoft.com/en-GB/windows-live/mail-import-backup-restore

My question is where it says in step 4 to browse for a folder where you want to store them, where do I make a storage folder? Is it in WLM and if so, where on my PC do I find it? When I click on browse I have to choose somewhere on my PC to store them. Or do I store them on my old PC or external hard drive somewhere?

Hope someone can help.

Thanks.