On the e-mail there is a paper clip at the top right hand side.
Right click on it and it says " Save Attachment ".
Click on that and another box appears describing the attachment.
At the bottom of that box it says " BROWSE" so you can now browse to any part of your main drive and save the attachments wherever you like.
You could always start a folder called "PDF files" and keep them all together.
Alternatively, go to Start, Search and enter *.PDF (Asterisk/dot PDF) and it should find all of the PDF files in your system.
Hope this helps.