The File Name field can be used to identify the name (or directory and name) of the output file.  A default filename can be saved with each template (see the template summary tab).  This name is relative to the web server (not the end user's client machine).  

The user id that is configured to run your servlet engine (i.e. Tomcat), is the user id that must have appropriate permissions to write data to this directory location.  Many administrators may not have access to the web-server disks to retrieve the resulting file and thus may choose to email the output to themselves.

Note: if the filename does not contain a fully qualified path, the file will be written to the temp directory as defined by the Temp Directory (Fully Qualified Directory Name) (unanet.temp_directory).   If that property has not been set, then the file will be written to the current working directory as defined by your Servlet Engine installation.