You need to browse to a folder where you want to save it.

If you are using Windows Vista, there was another thread where someone was trying to save some pose files but they weren't showing up in the folder where they pointed it too.  So they created a folder in their "My Documents" and saved it there. Oddly enough they were able to see it in that folder. So they just  manually moved it from there to wherever they had wanted it to be saved.

"It is good to see ourselves as others see us. Try as we may, we are never
able to know ourselves fully as we are, especially the evil side of us.
This we can do only if we are not angry with our critics but will take in good
heart whatever they might have to say." - Ghandi