The two primary options you see for saving a file shared to you over AirDrop, Lion’s super-simple way of sharing files between computers on the same network, are “Save and Open” and “Save”. But there’s a third option: you can simply drag the file’s icon from the popover to your Desktop or wherever else you want. That will confirm and begin the transfer just like using either of the buttons, but it should also be an easier way to put the file where you want.