Hi @xariecia ,
This is dependent on location of your folder.
You can open it in SharePoint and check the URL. Then select correct site and folder.
Step1.Open the folder in SharePoint.

Step2.Get the site "RimmonTest" according to the URL.

Step3.Select the site in "Create file" and Folder.

Then the exported email will be saved to specific folder.
————————————————————————————————————————————————————————————
If my answer helps you solve the problem, please accept it as a solution.⭐
If you have another question, please post it as new question in the forum.🌟
Best regards,
Rimmon