Hi

I have a character called J'Azar as some of you may know. But, I want to start another character, a Khajiit hunter.
So, I want to save this save at my desktop, how do I do that?

Your saves are located in Documents\My Games\Skyrim\Saves. From there you can do with them what you wish.

Right. From there you can copy it to desktop or make another folder called archived saves or something like that and put it there.