iCloud Photostream Alert When Attempting To Save File

When you attempt to open an iCloud Photo Stream photo you will see the following alert:

You may still open, edit, and save photos that are stored in iCloud but you must choose a different destination.

Click "OK” and choose a folder or create a new one in the dialogue that appears. This will be the location the photo is saved. .

This alert will appear each time you attempt to open an iCloud photo by default.