As soon as you hit 'Run Profiler' you will be prompted to choose a file name for saving.

By default, URL Profiler will generate a unique filename, but you may wish to change this.

As per usual, you can choose to over-write old files with your new data. If you accidentally leave the over-write file open whilst URL Profiler is running, you'll simply get a message like this:

The data itself is exported as an Open XML Format Spreadsheet, which means it is compatible with Excel, Numbers, Open Office or Google Drive.