I'm pretty sure the folder(found in my documents) shows up as soon as you install the transfer kit software.
The transfer kit is confusing at first, but after a few times it's a piece of cake. All you have to remember is that the .z36 file needs to go into the xbox 360 folder found in my documents. After that you start up the exchange 360 program, select the file you want, and click the "to memory card" option. The file is then on the memory card. You then have to go into the memory section of the xbox 360 dashboard and move or copy the file from your memory card to the hard drive of the 360.