Within the Single Player Editor if you select:
SAVE - it saves it to our MyDocs\ArmA2 Other Profiles\Yourname\Missions folder as a folder with a mission.sqm file in it. SQF files would go in this folder.
EXPORT TO SINGLE PLAYER - it saves it to your C:\wherever\you\installed\arma2\Missions folder as a PBO file ready to play from SinglePlayer -> Scenarios
EXPORT TO MULTIPLAYER - it saves it to your C:\wherever\you\installed\arma2\MPMissions folder as a PBO file ready to play from Multiplayer -> Host New Game