You cannot export a Web Archive to a designated location other than the Default. The ability to modify the default location is being tracked by PM-709.
For versions of DLP 15.0 and earlier the resulting archives will be stored in the following location...
The default location is \Vontu\Protect\Archive\[Report Name]
For DLP Versions 15.1 and later the new location for the archive will be as follows...
C:\ProgramData\Symantec\DataLossPrevention\EnforceServer\15.7\archive\<report name>
... whereby your installation drive may vary from the C drive.