Spoiler: Long complicated instructions
Got to %appdata%\.minecraft\libraries\net. Create a subfolder called optifine. Inside the new optifine folder, create another subfolder called optifine. Inside that one, create a folder that matches the filename of the optifine jar, Minus the "Optifine-" bit.
Yes, that's confusing. This is what it should look like (change the final folder name to match your version):

%appdata%
└───.minecraft
└───libraries
└───net
└───optifine
└───optifine
└───1.6.2_HD_U_B4
OptiFine-1.6.2_HD_U_B4.jar

Swear for a while at the cat/dog/sibling/husband/boyfriend about how stupid this seems. (Swearing at the wife/girlfriend not recommended.)