Social Bookmarking Tools

I am a complete newbie to this stuff, but have managed to install a few plugins and a new theme. My problem is with the Easy AdSenser plugin (and others) – when I make the changes I need to make and click on the ‘Save Changes’ button, it pops up a window asking where I would like to save the .php file. I simply want to update it and save it online to my server.

Have I got a setting wrong somewhere ? Or am I doing something else wrong ? I am simply trying to save the changes to the online file, but it seems to wantme to save it locally.

Thanks in advance.
Can anyone help me with this ? It is seriously driving me mad and I’m sure that it is something fairly simple. I’m hoping that someone knowledgeable might be able to point me in the right direction.

Thanks !