I am confused with the batch export under the Export

I have 40 images, and select them all  and do batch export.

Its exporting the 40 images, but where?

I've done it a few times, and sometimes I have 20 icons on my desktop, all named g....png  (  g with a 4 digit number)

And other times, there are no icons..

So where is it saving it?

Ive read the help, but that  talks about changing the settings, which you can't, since it's greyed out

Thank you