When you are using the Citrix environment to access the Virtual Lab classroom applications, you will be able to open files from the computer you are using as well as save files to the computer you are using.  This includes using USB drives and other detachable media.

Use the regular File > Open or File > Save (Save As) options you would always use from the application.  You will see a screen that looks similar to this, and specifically you will want to click on the option for This PC:

You can see the drives you have available to you on your local computer.  Their labels may appear a little odd, but the first letter is the drive letter that it has been assigned on your local computer.  You can see those here:

Double-clicking on one of the drives will open the familiar folder structure and will allow you to browse to wherever you'd like to open or save the file: