Here is a pic of my settings. I can view the export, but when I look for the file, it is not there.

What do you mean by "I can view the export"? Where are you viewing it?

If I click on "view export" it opens a Internet explorer page showing the file, but if I look for the c:\weather.html file, it is not there. It seems like it is not saving it as a file.

The "c:\weather.html" has to exist if Internet Explorer can display it. It sounds like Windows might be hiding .HTML files. See the following link for instructions on showing all hidden files in Windows:

http://www.bleepingcomputer.com/tutorials/how-to-see-hidden-files-in-windows