When exporting items from AGS, it doesn't auto rename the filename. So you have to type the file name yourself. In addition, once the export is saved, AGS doesn't remember the last path you saved from its editor, and so on the next export it takes you to the current folder of the game's you're working on. I suppose that this scenario is the same in other places in the editor where the operating system file browser is involved. It should remember where you last been.