Can't figure out SSH keys

For this tutorial: https://www.digitalocean.com/community/tutorials/initial-server-setup-with-ubuntu-14-04

I do not understand step 2: It says: Once you have entered the Gen Key command, you will get a few more questions: Enter file in which to save the key (/home/demo/.ssh/id_rsa):

So where is this “file”. I created a file path on my home computer under “my documents”, but nothing was created in that folder. Is the “file” the key is saved to on the Ubuntu server? This step needs clarification.

instead of “demo” I named my user after me: matthewtae

So I typed: (/home/matthewtae/.ssh/idrsa) I receive the message: No such file or directory. Saving the key failed: (/home/matthewtae/.ssh/idrsa).

Soooo… the tutorial needs to be clearer about that step, where to “save the key” to. Where am I actually saving the key to? To my local hard drive that is sitting on my desk? Or to some place on the server?