I am actually somewhat embarrassed to ask this question, but when using MovieMaker, I am able to run the sketch with no problems and attempt to save the movie I have created, but have no idea where it saves to.  

Should I be prompted to save after hitting the space bar, which should trigger the finish() command?

I am using the basic demo code of Movie Maker:

Code:

 	

import processing.video.*;

MovieMaker mm;  // Declare MovieMaker object

void setup() {
  size(320, 240);
  // Create MovieMaker object with size, filename,
  // compression codec and quality, framerate
  mm = new MovieMaker(this, width, height, "drawing.mov",
			     30, MovieMaker.H263, MovieMaker.HIGH);
  background(204);
}

void draw() {
  ellipse(mouseX, mouseY, 20, 20);
  mm.addFrame();  // Add window's pixels to movie
}

void keyPressed() {
  if (key == ' ') {
    mm.finish();  // Finish the movie if space bar is pressed!
  }
} 

Thanks!