Save it where ever. It is in HDR format, so open up Photoshop/GIMP.
Step 88PS: Open the HDR image, then set the mode to 8 Bits per Channel. It will open up the HDR toning dialog, I usually use the Equalise Histogram method, but experiment to get the best results.
Step 8GIMP: Open the HDR image, then set precision to 8 bits per pixel. Use perceptual gamma (sRGB).
Step 9: Save as DDS, ready for W3D!It's ready now to become a DDS file that W3D can use.