You double-click (or right-click and select Set Properties) to bring up the configuration dialog. Once that comes up, select Terragen Format from the list of file formats at the bottom, then click the Set button by the Filename box up top and give it a name and path to save to. Finally, only if you've already built the network (big green button on top-left toolbar), you can press Write File in the File Output Properties dialog. Otherwise click OK, then press the big green build button, double-click the File Output again and click Write File. If it still has a problem, your network may be connected incorrectly.
Sorry to ask this, but I have read the quickstart guide and I'm having real trouble. When I click or double click file output to export my terrain into terragen, nothing happens. I just can't figure it out, I have been playing with it for about half an hour, I'm not just spamming the board with every lil problem. I might be doing it wrong, but the guide is... not very helpful, so any help?