The Folders Options tab allows you to specify where you want WebSnatcher to dump your files.  The installation program creates a folder called "Download" for you but, using this dialog,  you can easily change it to whatever folder you want.

You can also select whether you want WebSnatcher to dump all files into a single folder or to generate sub-folders, which allows you to mimic the directory or folder structure of a given website.  A website might separate video, graphic, and audio files in separate folders.  Choosing to generate sub-folders will dump the files into their respective folders and make files easier to find.  On the other hand, if you're strictly collecting files of a certain type, say image files, then it might work better to download all the files to the same folder, especially if you're pulling files from multiple websites.

The "Explore Download Folder" button is simply a quick access button that opens the folder in Windows Explorer.

"Update (reindex) hyperlinks..." causes the internal links to other web documents to be updated to reflect the local download folder you have chosen.  This is most useful when archiving websites, but not recommended when you are snatching files of a given type.