This is a weird thing I haven't seen as I'm usually working on a live server. On my MAMP, when I try and export the database, it just opens the file within phpmyadmin-like as a text document. I tried to copy the file to a text document with and gave it a .sql at the end, but that gave me an error when trying to import to the live server. When I try an export from the live server, I get the save location dialog box popping up as normal. What am I missing? Thanks!
It's hard to tell what's wrong with little information. What version of phpMyAdmin are you using?
However when you try to export the database, in the export page you'll have a choice between 'Quick' and 'Custom'. Chose custom and under the 'Output' section you'll see two choices.
Generally 'Save output to a file' is selected by default, but i'm not sure whether something has gone wrong and the other option is selected in your case .