Menu above: Game > Check Log my Games
You can set to where you want the games saved with Menu above: Game > Set Log File. You will be shown the default folder but you can browse to another place, create new folders and create your own .pgn file.
You can open a .pgn in BlitzIn with Menu above: Game > Open PGN and follow the steps.
You can save a game, you are examining, as a .pgn with Menu above: Game > Save PGN and follow the steps.
To have Chessbase etc. easily find the games you played on ICC:
1. Menu above: Game > check Log my Games.
2. Menu above: Game > Set Log File and choose where you want them saved.
3. Go into Chessbase etc and select 'Open New Database'. From there, browse to where you set your Log File in step 2.