where is saved a document when I use save as Adobe PDF button?

Hello. I am using Microsoft Word and sometimes I have to save documents as PDFs. 

The question is where is saved the document after I hit the Save as Adobe PDF button or the Export -> Create Adobe PDF?

It's looking like is saving. After that, the Word document is closed but PDF is not opening, or requesting a location to be filed.

I have searched in my documents in program files, but I wasn't able to find the newly generated documents.

I really appreciate any help you can provide.