By default the output produced by the transformation will go to the preview pane. If you would like to change where the output goes, you can select 'Tools' then 'Send Results...'. You will be presented with the dialog to the right. You can specify where you want the results to go by clicking the radio button next to your choice (providing additional information if necessary) and clicking 'Okay'.
When choosing 'FOP Preview' or 'PDF File', please note the XSLT must be written to create a PDF file (i.e. In FOP fashion) or nothing will happen (except an error shown in the standard error Ent).
When choosing to send to another program, put a $1 where you would like the file name to be.
Providing paths is operating system specific. So if you are on a Unix style computer (which is most every OS in the world except Windows) you would use that path style - if on a windows system you would use the drive:path style.