can't save my iChat transcripts

I've never saved my iChat transcripts, and now I'd like to, but when I go to iChat>Preferences>Messages, check "Automatically save chat transcripts", it won't allow me to Open a Folder. Just beeps. So I can't save the transcripts.
Anyone have any ideas? Thx

iChat 3.1.9 (v446)
OS 10.4.11
G5 Dual 2.3 PPC