How to specify the folder where messages should be saved?

[adityanm]

Can it be set as default or each file basis?

[alex]

you can set it on per newsgroup or folder basis in properties->newsgroups, also you can set so it will ask for folder or not - the ask checkbox in the bottom (when it asks you can enter per batch folder, it is shown in the task manager article entry as well).

the save area below in properties->newsgroups is separate for every entry in the list but you can use copy/paste to propagate the same setting to several entries.