Why is Adobe Configurator 3 not creating a .zxp file when I `File->Export Panel`?

I have an InDesign Panel I made with Adobe Configurator 3. I have made modifications and I'm trying to intall the new version in InDesign to try them out. The way I used to do this was to File->Export Panel and double-click on the .zxp it creates. But now, for some unknown reason, Export Panel doesn't create a .zxp. I don't know what changed since the last time. Any ideas as to why this is the case?

NOTE

This is an old question, I since left that job and am no longer in a position to do any testing, nor confirm any new answers.

You are using an older version of InDesign.

If you are using Windows Vista -

InDesign 3.0 was released in around April 2007 and if you are using the older Vista, you may be having permissions problems - you cannot save to any location except MyDocuments.

This is so old, your best bet now is to upgrade to latest Windows 7 or Windows 8, use Adobe Cloud InDesign.