You should always save your work in at least two locations. By default nearly all VLab pools will redirect My Documents/Documents, Desktop, and Downloads to space on Prism. This is also mapped in virtual machines as P:\ drive.You can access Prism from your Windows PC or Mac. Files related to VLab will be in a vlab folder/directory for your Prism network file space. Performance is generally best when saving to P drive which is Prism.
Never navigate to C:\ or a subdirectory of C:\ to save work!
Another option is to save your files to your local PC or a USB device or Microsoft OneDrive, or DropBox. You can control access by selecting Preferences in the Citrix Receiver menu shown here: