Music Box Composer

Hey all, I just made music strip and tried to save it out as a PDF. First off, it says it has saved it as a JPG... the help tells me it's in "local storage"... I've searched my entire drive, can't find the file. What am I not doing right??

This directory exists, but it's not creating any files. I'm not sure what the software requires to make PDFs on Win 7, but it's not doing it.