You can create a folder on the desktop by right-clicking on a blank space on the desktop and choose NEW on the menu and then FOLDER. Type a name for the folder (such as SAVE) and you are all done. OR you can go into Windows Explorer and choose the area where you want this folder to be and then click up under File and choose New and Folder.
I'm not real familiar with Yahoo mail, but you should be able to right click on the link for the video and look for Save image or Save As or something like that in the menu that comes up. You could save it to your desktop and then create a new folder there or in my documents.