First create your Test Case: drag building blocks from the Test Step Tree to a test flow.
Add loops, conditions, parameters and other attributes.
As your Test Flow is done, click the "Generate and Run" button.
This will compile your test flow to the Generated Script and immediately execute it.
Read the article "Create Re-Usable Test Steps with Parameters" to learn more about test bulding blocks.

Any time you run the test, ETS actually executes the Generated Script.
Click the “Generate” button if you intend to just create it for later execution.
You should refer to the Generated Script file in a command line directives or when you create a new job. 
By default, ETS saves the Generated Script file to the folder C:\ETS_Workspaces\MyProject\TestCases, under the name you chose for your Test Case, like MyTestCase.esl.

Click “TC Generate Settings” button to have a list of Test Case settings.
Among the parameters are Generated Scripts file name, Pre and Post hooks scripts location, logs etc. 
Double click on a parameter line and change the value to the desirable one.
It's a good practice to keep files in the Project space, i.e. under C:\ETS_Workspaces\MyProject.
This will allow you to have entire work space relocatable and easy manageable under the Source Control.
Related article: "Configure ETS to Create HTML Runtime Logs"