Yes you can run it that way.  Or you can drop it in the script menu folder and then it would show up there.  Either way is fine.

When the file browser dialog appears, you just need to browse to a place/folder where you are OK with all of the maps and OBJ's getting created...then type a new name in the filename portion.  It does not need an extension.  It will then create a folder and an OBJ of that name, for import to Blender.

(it looks like a selection dialog, but its really a save dialog to save the OBJ and stuff in the place you want it)