The dialog is a basic Save File As dialog with some additional fields that help you to locate the file path.
Set Directory
Click on 
to see a list of directories that you have accessed recently. You can select a directory from the list, and it is automatically entered in Look in. Click Favorites… to open the Favorites dialog, and display a list of directories that you have set as favorites, from which you can select a directory.
Set File
Click on to see a list of files that you have accessed recently. You can select a file from the list, and it is automatically entered in File name. Click Favorites… to open the Favorites dialog, and display a list of files that you have set as favorites, from which you can select a file.
Click Save when you have specified the path, filename and file type. The dialog is closed and the file is saved. It is left open, referenced by its new name.
Click Cancel to close the dialog without opening a file.