WHAT CAN I SPECIFY AS THE DESTINATION FOR THE FILES?

You can simply browse to any folder that you can see and use that as your target folder.

Your destination can be Local, Removable, Networked or Cloud-based.

If your Windows account allows you to WRITE to the folder you can use Cool-It to move the files into that folder.

If you do not have the necessary privileges to WRITE in that folder you cannot move the files into that folder.