How to put\save files into your application directory? (adobe air)

You can't write to your AIR app's Application Directory, it's not allowed. You can however write to a folder that your AIR app creates in the user's directory, called the Application Storage Directory. If you need config files and the like, that's probably the best place to put them. See 'applicationDirectory' in the docs link below:

http://www.adobe.com/livedocs/flash/9.0/ActionScriptLangRefV3/

It's not recomended but it is possible. Construct your File reference like this:

var pathToFile:String = File.applicationDirectory.resolvePath('file.txt').nativePath;
var someFile:File = new File(pathToFile);