It doesn't matter what directory you copy them to. You can create your own directory for them if you want to keep all your 3rd party scripts in a separate folder. You would just have to make sure that where it lists where your code is located, you set it to the directory that you have saved them in. It should look something like this:
Code:
<script language="javascript" src="<script type="text/javascript" src="highslide/highslide.js"></script>">