Under "Preferences->Database->Worksheet, I have set a default path to look for scripts (also export query results).
Once I try to export a query result, in the Export Wizard, under "File", I have the default file location path, but it has replaced the spaces in folder names with "%20". If I change the export "Format:" to "xlsx", the it replaces the "%20" in the path, with "%2520".
If I click next, I get a pop-up saying "The path directory... does not exist. Do you want to create it?". If click "Browse..." and enter different folders, the path in the "File:" box never changes. The only way to save the file is to select an existing file to overwrite it, or type a file name, because then it updates the path after clicking "Save".
Which O/S and JDK version are you on? The export path on Windows 7 seems to work for me when the export folder name contains embedded blanks.