I run a query, right click in the result grid and choose "Export". There is no input field to provide a file name. I can only export to the default file.
Version 22.214.171.124 on XP
Edit: Seems to be an issue with the settings (maybe those migrated from 3.2.2). When I install without migrating settings I get the full dialog. I will try some combinations and update this post.
Edit: I installed again without migration my settings. When I set the preferences manually I cannot reproduce the bug. Maybe some bug in the import for the preferences? Maybe it only happens on German XPs.