When you select export in 3dxchange the window shown on the left below opens with several options - including where the file will be saved. Clicking on Browse beside one of the 3 options opens the window shown on the right, where you can save to an another folder.
Re-open the file in 3dxchange, select export again and see where it will be saved by default - depending on your Windows version.
Gerry
System: Win 10 Pro (21H2), Asus X99-E WS, CPU i7-5930K -3,5 GHz, 32 GB DDR4 2666-16 RAM, NVidia GTX 1080 Ti GPU - 11 GB VRAM(Driver Studio-536.99), Samsung 850 Pro 512 GB SSD, 6 TB HD storage.