In Veejay mode, certain commands create their output files silently in the default output folder, instead of displaying file dialogs. You may find it more convenient for these commands to never display file dialogs; if so, change the "Use default folder" option from "In VJ mode" to "Always". Selecting "Always" is a trade-off: you can create files quickly without stopping the animation each time, but the files won't have meaningful names, unless you go back and rename them later.