Hi Mike,
Sorry, the Help is incorrect (it was probably copied from the old Export to Excel menu choice).
We have always felt it is more useful to open up the sheet and let the user decide whether to keep the result or not. You can set the default File | Save as... location in Excel.
You can also automate the export to Excel using the /XD command line parameter. There are a set of rules about where the .XLS(X) file ends up. The command line parameters are documented in the Help.
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Andrew Bates