You didn't mention which version of windows you're running, however on all the versions of Windows you can simply search for the file extension .SCR to see where the rest of the screen savers are stored and copy your new one in to the same place. The default location is C:\Windows\System32 copy the file to that location.
Also, be sure to scan it for viruses as a lot of viruses come in via screen savers...
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You didn't mention which version of windows you're running, however on all the versions of Windows you can simply search for the file extension .SCR to see where the rest of the screen savers are stored and copy your new one in to the same place. The default location is
C:\Windows\System32
copy the file to that location.
Also, be sure to scan it for viruses as a lot of viruses come in via screen savers...