How to specify which email to send filled form

Where do I go to specify what email the contact form should go to after submission?

You can change this at the Mail section of the CF7 user interface. Add your email at the To: field.

Also, I’m getting the orange box after I submit a test.

See Contact Form 7 Email Issues. There is a link at the bottom of the page to a comprehensive and detailed article which covers many issues. Most people that work through this information appear to be able to resolve their email sending & receiving issues.