If you attempt to choose a folder that the Digital Pigeon app doesn't have write permissions for you'll see a message stating "Digital Pigeon does not have permissions to write to folder <folder name>. Please select another folder."
By default when you add a drive to OS X it gives 'admin' users 'Read & Write' but 'Me' (your account login) is excluded. To allow the Digital Pigeon app to save to the drive or folder you'll need to make sure that 'Me' is listed in the permissions for the drive with 'Read & Write' access.
To change the drive permissions open Finder, select and control+click the drive and open the 'Get Info' option. Then under 'Sharing & Permissions' click the '+' button and select yourself from the menu. Finally choose 'Read & Write' under 'Privilege'.