Possible, but not recommended if your Windows partition is NTFS.
To save to your hard drive, you'll need to mount the partition. This should be easy enough. Just look on your desktop, and you'll likely find hard drive icons for any partitions on your computer. Clicking on them will mount the partition and open Konqueror to explore it. You may or may not be prompted for your root password when mounting here, which is "root" on the Mepis LiveCD. Navigate to wherever you want the file to go, and save accordingly.
You should be forewarned, however, that write support for NTFS is still rather iffy in Linux. I don't think any distro can guarantee that any writing to an NTFS partition will not result in errors or data loss. If you have a FAT32 partition on your hard drive, save your files there instead. If not, you're better off saving to a floppy or USB flash drive, then transfering to Windows later. You may well be able to write to your NTFS partition without any problems, but I for one would not feel comfortable trying it unless I was fully prepared to reinstall Windows.