The version of Notepad++ in question is the virtualized Citrix version of the application. The Citrix version of the application is the version of Notepad++ that is currently supported by CTS campus wide. Below is a step by step on how files may be saved to the local PC desktop.

Click Save As
Click the drop down and select the local C: drive of the PC they are using (Ex: Local Disk C: on SHIN-448-01)
Click Users
Have the student click the folder with their user account on it
Click Desktop
Click Save

This will deposit the file onto the local desktop. Alternatively the student may also save directly to a removable drive by selecting their drive from the drop down.