The bookmarklet only works with sites that have Zotero translators (i.e. many databases, many blogs, Amazon, YouTube, Flickr [update: it may not work with Flickr; so far it has not for me], the NYT, etc.). You cannot use it to capture a webpage that does not have an associated Zotero translator.
The bookmarklet will not always capture the appropriate bibliographic data/metadata; be prepared to edit your entry on Zotero.org immediately so you don't forget stuff! For example, when I used it to capture a book from Amazon.com, it did not include the date I accessed the site nor the URL for the Amazon page for the book.
Note: I found that I was able to capture better metadata (and full text for a an article available via an academic database) when I logged into my Zotero.org account first and used the translator icons instead of the bookmarklet (although sometimes I had to copy and paste the info from an attachment to the proper record field).
If you are using the Zotero bookmarklet from a mobile device or a computer that does not have Zotero installed
Items you save using the Zotero bookmarklet will show up in your online Zotero library in the library, and not in any particular collection. You can find them in your Library by using a date sort - they will be at the top. You can then move them to a collection by checking the box by the title(s) and then clicking the Add to Collection icon. You can also do this via drag-and-drop from your workstation Zotero library if you use Firefox or Zotero Standalone, but you will need to make sure you have synced your workstation library with your online library.
If you are saving something via the Zotero bookmarklet and Zotero is open on your desktop
If a collection is currently "live" (highlighted in dark blue or greyed out) - any item you save using the Zotero bookmarklet will show up in that collection. If you want to, you can then move it to a different collection via drag-and-drop. If you are using your zotero.org online library you can also move items to different collections by checking the box next to the item's title and clicking on the Add to Collection icon (you will need to be synced to see all your saved items).
You may want to create a new collection and name it something like .Unsortedfrombookmarklet (adding a period before the title will keep it at the top of your folder list - symbols come before letters) and deal with those items later - you would have to remember to make sure you have highlighted that collection consistently before you close your Zotero library. If you want to, you can move items to different collections via drag-and-drop. If you are using your zotero.org online library you can also move items to different collections by checking the box next to the item's title and clicking on the Add to Collection icon (you will need to be synced to see all your saved items).
If you are ever unsure where (which Collection) an item was saved, when you are in your desktop/browser Zotero Library, highlight the item by clicking on the title and hold down the Control key. The collection(s) it is in will be highlighted in yellow. If you have a Mac, hold down the Option (sometimes Alt) key. If you want to include subcollections in the search, you will first need to click into the Collections portion of the screen (the first column), then press your computer's plus sign (+) key - this will automatically open all subcollections, and then you can follow the previous instructions.