Hi,
You have the option to send it to several apps, including your phone's file explorer.
I just used a Google Play app called localsend to send it directly to my windows computer.
I was also able to save it directly to the Android file system via Cx Explorer. You can also save it directly to your Google Drive.
If you install a zip program like 7zipper you can add it to a password protected archive.
See attached pics:
