You didn't say which Poser version. I'll assume it's P8 or higher.

The library window has buttons in the top and bottom. You will use both.

Select your figure in preview window so it's the "current" figure.

In the library, across the top, are categories (round buttons - active one is yellow) - click the first one called "Figures".

Pick a folder - or make a new one. Which folder is selected is where you're going to save to.

[ To make a new folder first, on the bottom of the library click the + button that is inside a folder - hover tip is "Create New Folder" ] 

On the bottom, click the + button (hover tip "Add to Library.")

From there it should be obvious. Your new CR2 will appear in the library.

If you have compression enabled in general settings, it will be a CRZ file - that's a zipped cr2.

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Renderosity forum reply notifications are wonky. If I read a follow-up in a thread, but I don't myself reply, then notifications no longer happen AT ALL on that thread. So if I seem to be ignoring a question, that's why. (Updated September 23, 2019)