Hi Brian,
The log file will be saved to the location set in Settings... Export location... (from the top menu). The same location will be used for all the various items that can be exported.
And when you click on the Log screen's Export's menu item it should add a log entry telling you where the file was saved. For the next release I've also added a popup that informs you of the same thing, just to give some more direct visual feedback that something has happened.
Hope that helps and please send the log file when you've found it, if it isn't clear why the connection isn't going through.
Andrew
VA7YAA