And my advice is to use "select none" there are many cases where "select all" misses certain parts, don't know why and it's only sometimes, but select none Ctrl/Shift/A has worked for me for 10 years of exporting songs.
And I never have to change anything in the export dialog box I've always used what ever the default is.
Only change I make is the bit rate to 16 for CD burning.
And as said you set the folder path in preferences. Mine is set to the root of my Sonar data drive "E" From there I browse to the "album" folder I want to save the Wav file to.
When you have your mix sounding the way you want it:
check your master buss is not going over etc. (I like the BT Brickwall set at -.4 )
File/ Save - do this so your guaranteed all changes are in the export.
Ctrl/Shift/A - to select none.
File/ Export / Audio
I use the default setting and at this point will change the bit rate if required.
Browse to the Album folder
Type the songs name
Save and wait the 10- 30 seconds for the rendering.