The arduino can't directly modify the contents of the PC hard drive, the ability for a peripheral device to do this would be considered a massive security flaw in the PC operating system.
Having said that there are a few ways to do it:
To save a text file without anything special on the PC:
Have the Arduino act as a keyboard. Send (windows key + R) (pause) notepad < enter > (pause) [ The text you wish to save to the PC ] (alt-f) s < file name > < enter>
This does require the PC to be unlocked (or you send the unlock key sequence first) and setting the directory to save to or overwriting a file could get tricky but should be possible if you work out the correct key sequence. The (windows key + r) combination is very powerful and also very dangerous. It makes it trivial to wipe the entire computer so use it with care.
To save a binary file to the PC:
Set up the arduino to act as a serial port. Start the terminal program of your choice and set it to log to a file. Send the data from the arduino. On the PC wait until the transfer is complete and then save the log file.
To read/save/modify any file without user interaction:
Set up the arduino to act as a serial port. Write a desktop PC application that takes the data from the Arduino. Define a protocol that allows the arduino to to specify the filename and what to do with it. The arduino doesn't directly access any files, instead it sends the commands to an application running on the PC, that application then performs the required file operations.
Alternative way to read/save/modify any file without user interaction:
Connect the arduino to the PC using USB. Exploit a flaw in the PC operating system to install a virus on the PC that gives you full control over the computer.