If you are using the BlueStacks App Player for Windows version 0.9.0.4049 or later, we have recently made it very easy to save files from Instagram to Windows / your PC. Here's a video to show you how
This tutorial is based on BlueStacks App Player for Windows v 0.9.0.4049.
Step 1) Launch the ES File Explorer
Step 2) Select the Pictures folder to access the Instagram folder where the photos are stored
Step 3) Select the photos(long press on photos) to be copied.
Step 4) Select the Windows folder
Step 5) Select the destination BstSharedFolder, the BlueStacks Shared folder.
Step 6) Click/Tap OK to effect the copy