A batch job has no connection to your local PC, you could even switch the PC off and the job continues.
The file shall be written to the application server (PC is presentation server)
The file name is depending on the operating system.
You can read the details and how the file name should be by doing a F1 in the file name field.
Beside of the name you need of course authorization to open and write this file into the directory on the application server.