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

Go to the toolbar above and click on the Settings icon (or menu above: Edit > Settings).
A window opens with a list of options on the left. Click on 'Playing'. 
 
Here you find 'Autosave to this computer' with options for different libraries. To disable this feature, choose from the list 'Disabled'.
 
You can also change the default folder for the 'Games library path'.   Click on 'Change' and browse to where you want to save your games. 
 

OPEN a PGN saved on your computer: Click with your RIGHT mouse button ON the board, choose from the pop-up list 'Open Game Library' and follow the steps.
 
SAVE a game as PGN to your computer: Click with your RIGHT mouse button ON the board, choose from the pop-up list 'Save Game to Computer' and follow the steps.
 

To have Chessbase etc. easily find the games you played on ICC: 
1. Menu above: Edit > Settings > Autosave to this Computer and choose one of the library options.
2. Menu above: Edit > Settings > Games library path. You will be shown the default path but you can click on 'Change' and browse to another place, create new folders/libraries and create your own .pgn file.  
3. Go into Chessbase etc and select 'Open New Database'.  From there, browse to where you set your Library in step 2.