Export Options window
When you click export options this window pops up.
Browse to the location where you want to store your backup file.
Type in a filename.
The filename should end with '.reg' if your settings location is 'Current user' or 'All users'
The filename should end with '.ini' if your settings location is 'ini file'.
Click 'Open' to save the file (Unfortunately I cannot change the 'Open' button to say something more logical like 'Save').
Detailed tutorial on backing up settings: Step 3: Two ways to backup