Quote - "when I right click on the material in the Materials window and click Save, it doesn't show me where it saves"

When you click save, It should show you a browse window where you can navigate in your folders and select by yourself where you want it saved.  Don't you see this window?

Another thing: don't forget that you can save all your materials of one object at the same time, as one package. You have to right click on the material, choose "edit all materials" and save from there. If you have, say, 30 materials, it'll be saved as a package of 30 materials. You can then apply them back to your newly imported Poser character (provided it has the same materials - if you deleted or added materials in Vue, you can't reapply the material package because Vue doesn't know which is which).