Unfamiliar with A.P.Album, but when you see the files listed on your screen don't you have an option to 'Browse' before 'Save'ing ?
If so, click on the Browse button, find your way to My Pictures, highlight that and Save.
Most of this type of software remembers "What happened last time".
Similarly it should be possible with 'My Computer' -to find Photoshop Album and drag the wanted files either to My Pictures or direct to the CD you are going to burn. In addition to 'drag and drop' you can 'copy and paste', or 'cut and paste'.