Nah, hit the |...| button to the right of where it says "A:\". That'll let you browse to wherever you want to put the gamedisk files. You can also manually type the destination in, but only after you've hit the browse button. I suggest saving it to a folder on your desktop, and putting all of those files into one ZIP.
Note that you CAN copy/paste the files into your project folder (make sure they're in the right directory). You can also use the Resource manager in the Tools menu (or on the toolbar) to import the resources yourself. It's safer to import them, since you'll be able to make sure the transparency is working properly. (See http://zelaron.com/forum/showthread....92327#poststop for more details on transparency while importing)