OneDrive is Microsoft's cloud option. If you are subscribed to Office 365 you get 2TB of free storage (although I'm not sure that amount is the same in all cases). You may want to use it instead of iCloud.
If you want to save to iCloud instead of OneDrive, click the "On my Mac" button in the file save window and save to a location on your Mac that is in your iCloud Drive. You need to have Apple menu > System Preferences > Apple ID (or iCloud) > iCloud Drive turned on. If you also have Desktop & Documents option on, you can save to any folder within those (don't turn that option on if you don't fully understand it).
You can make the iCloud Drive folder easier to find by opening Finder Preferences, click Sidebar at the top of the Prefences window, and then click iCloud Drive. It will then show in the sidebar in Finder and in the file Save windows in Word, et.