Hi Andrea,
One method is to copy that text and paste it into Textpad. (Or Notepad, or any other text editor. Textpad has long been my favorite.) After it's in Textpad you can save it to your hard drive.
Another method is to associate pgn files with your favorite GUI. (Scid vs. PC, WinBoard, Tarrasch, Arena, etc.) When you click the GET PGN button, Windows should then automatically fire up your GUI, with the game already loaded. When you have your GUI loaded with the game pulled up, your GUI will give you the option to save the game to your computer.
Finally, you should just be able to save the text file to your computer, and then open it up later with a text editor, or your favorite GUI, etc.
Get PGN

Sorry, I am really really bad at this. So, when I click on the PGN button on chess.com I only get a text to copy. If I copy it on a text file, lets say a Word file, I cannot import it on fritz... I should first convert it into a PGN and then open it. Are you saying that a GUI can read a txt file just like a PGN? and how???

Glad you figured it out.
To clarify, for others who might be reading this thread in the far future, don't save the PGN data as a Word file. (As in Microsoft Word.) GUI's won't be able to read that format. You want to save the data as an ascii text file. And yes, a GUI can read a text file because a proper PGN file IS a text file.
I am studying some articles in the "study plans" section and I would like to download the PGNs of the diagrams showed in the article. Unfortunately, if I click on the PGN button, I only get a text to copy but I do not dowload anything. How can I download PGNs? Thank you!