If you want your data files saved to a different location / server than the millisecond.com server, there are several options. You can use FTP. See the language reference for the <data> element for details. Excerpt:
"The file command specifies where Inquisit should record the data. The data file may be written to the local drive, a network share, an ftp site, or a web URL.
If a web URL is specified, the data is posted to the specified web address via HTTP POST. The web server can then extract the data from the POST request and save it. If you specify an http address, data is sent to the web server in plain text using the standard http protocol. If you specify an https address, the data is encrypted using Secure Sockets Layer (SSL) before being sent over the wire, which provides protection from packet sniffers. Since data can be posted and later retrieved from the data web service at millisecond.com (this is the default behavior for Inquisit Web), it should rarely be necessary to set up your own web server to handle web data collection.
If the data location requires login credentials, the user name and password can be specified using the userid and password commands.
For Inquisit Web, data is by default posted back to the millisecond.com web server via Secure Sockets Layer (SLL). For Lab, the data is saved to a *.iqdat file in the directory as the script."<data>
/ userid = "me"
/ password = "secret"
/ file = "ftp://foo.com/datafiles/"
You can also sue HTTP, but then you'd have to do a fair amount of web programming to enable your web server to handle the POST request, extract the data from it, write it to disk etc. You can find some additional information about that here:
For ease of use, I'd recommend using FTP.