Why is the OK button grayed out when I tried to export data in the Data Grid into excel? (4282894)

Why is the OK button grayed out when I tried to export data in the Data Grid into excel?

Example:

Export the contents of  the Data Grid to Excel with the following steps and notice that OK button is grayed out.

1. Ran a SQL in the Editor as statement.
2. From the Data Grid,  right clicked and selected "Save AS."
3. From the Export format, select "Excel File."
4. When clicked on OK, it said "Invalid filename."
5. Specify a file name, e.g. test.xls.
6.  Click OK and got "Drive specified in output filename does not exist."
7. Specify the drive to put test.xls as C:\test.xls but the OK button was still grayed out.