How can I automatically save my games to my computer as a .pgn? (Dasher)

Go to the toolbar above and click on the Settings icon (or menu above: Edit > Settings).
Open the 'Playing' tab and check 'Autosave Games'.  You can set where you want them saved. You will be shown the default folder but you can browse to another place, create new folders and create your own .pgn file.  
 

OPEN a PGN saved on your computer: Above the board is an icon shaped as a yellow folder with a green arrow pointing to the right , which you can click to load a .pgn game saved on your computer. Dasher helpfile: CLICK HERE  
SAVE a game as PGN to your computer: Above the board is an icon shaped as floppy disk  ,which you can click to save a game as a .pgn file on your computer. Dasher helpfile: CLICK HERE

To have Chessbase etc. easily find the games you played on ICC: 
1. Menu above: Edit > Settings > Playing Tab > check Autosave Games.
2. Set in this same Tab where you want them saved. You will be shown the default folder but you can browse to another place, create new folders and create your own .pgn file.  
3. Go into Chessbase etc and select 'Open New Database'.  From there, browse to where you set your folder in step 2.