are they added to the window at the bottom?
make sure they are and that the files have checkmarks next to them.
you need to press "convert selected" or something similar (sorry, I don't have it in front of me)
I think if you right click on the program you will get a bunch of options...one of them to change the file destination folder. I can't remember where the default folder is...so just change it to somewhere you want it.