Generate a keystore for an Android app in the Export Android Application wizard?

You should be able to create a keystore with the dialog, yes. After navigating to the folder you want to use, type a name in the 'File name:' field in the file browse window, e.g. sophie.keystore. Then you should be able to proceed.

Alternatively, you can create it on the command line as described in the docs.

The command looks like this:

keytool -genkey -v -keystore my-release-key.keystore -alias alias_name -keyalg RSA -keysize 2048 -validity 10000

for example:

keytool -genkey -v -keystore ~/dcaunt.keystore -alias dcaunt -keyalg RSA -keysize 2048 -validity 10000

If you have created an app right now with the sdk and adt plugin, like the hello world app, then you'll have to chose the debug.keystore file while exporting. The files is in c:/users/.../.android/debug.keystore, after that when asked for password.