Many people get confused on where to place the tool. I have seen many users not knowing and placing the tool in the TEMP folder. This is not a good place to place it.
When HijackThis gets used to fix some entries. It automaticlly creates a back-up so we can reverse the fix, if needed.
If this tool was placed in the TEMP folder. Them back-ups will simply be lost.
You can do this by going to My Computer then double click on C: then right click and select New then Folder and name it HJT.