Yeah you can out it where ever you want to put it as long as you know where you put it so you do lose it. But its not like its a 1Tb HDD or something.......lol
There is a music folder in //My Documents/My Music if you want to use that one or create it if you do not have it.
If you've ever setup an mp3 player using windows media player on a pc, you can do the same thing with your phone. Recommend syncing your music on the SD card.