Depending on how you have n8n set up it may not be possible to write to your local disk. If n8n is on a server somewhere on the internet it probably won’t know where your local machine is but if you were running n8n in docker on your local machine you could set up a volume to save it to a local path.
A more common solution to this sort of issue would be to use something like NextCloud / Google Drive / Dropbox and save the file there and use the client application from the storage provider to sync it locally.