What do you mean save it?  If you downloaded the .tax2020 file you have it.  What kind of computer do you have?  You should also download the pdf file.  Then you don't need to Desktop program to view your return.  And you can open a pdf on any device.

I used the Online version.  I have saved the PDF already.  In past years, I have also saved a .tax file so that if I want to use other software or online service in the future, I can upload the .tax file to whatever software or online service I want to use.  I have a Dell Inspiron running Windows 10.  Typically downloads show up along the bottom just above the task bar.  I can click the ^ and select "save" from there.  This particular .tax file does not have that option...I can select open or always open.  Since I have no apps/software that can open a .tax file, I can not open it from there - if I did, I would simply open it and then save it as a .tax file.

I have a new notebook with WIndows 10.  I downloaded the taxReturn.tax2020 file.  It is showing in the bottom left above the task bar with the ^.  That means it is already on your computer.  Go to the Library or Directory, click on the directory folder on the task bar and search THIS PC for .tax2020.  It should be there.  I have a separate D drive.  Mine is in there.  

Here's another way.  Click on the ^ and then click on Show in Folder.  And see the filefolder I pointed to in the task bar?  Easy way to get to the Directory to search.

I can find it there, but it is saved as a PDF.  Seems like no matter what I do, when I try to download the .tax2020 file from the online turbo tax home screen, it automatically defaults to a PDF.  I likely changed some setting to "always open" .tax files with Adobe.  So, I think that is what I need to correct.

Oh, you haven't been downloading the .tax file?  Log into your return online, Go to Tax Tools then Tools and save your 2020 return to your computer.  Do you get to this screen?

I understand the difference between a PDF and .tax file.  I prefer to save my return both ways.  Every time click on the "download .tax file" my computer downloads a PDF.  My return is filed already.  I can get to the screen you referenced if I elect to amend my return, however the same thing happens, I click on the download for the .tax file and it downloads a PDF instead of a .tax file.  Tomorrow, I am going to try logging into a different computer and see if I can get it it download a .tax file.  If so, I can email it to myself and then save it.  I really think the problem lies in the fact that I somehow have told my computer to use Adobe to open .tax files, but I can't figure out how to undo that.

I was able to log into the online program on my wife's Mac Book and from there, I was able to download the .tax2020 file.  That being said, it must be a problem with my laptop thinking that I want to use Adobe to open .tax files.  If anyone knows how I can correct that problem, I welcome your input.