In the Export report window, you can navigate to your local folders. By design, the remote desktop window will show the local drives and folders from the Application Server, as this is where DeltaWMS is hosted.
Another suggestion is below;
Click File, Preferences, Printing
Under Saved Reports Path Name, set this to a path to a location where you want to save the reports
Under Printer File, set this location to a location of your choice.
Click OK
Click YES