Apply Chain not creating a 'cleaned' folder

I’m using audacity 2.0.4 from the .exe on Windows 7 64-bit. When I try to use the Apply Chain function (in this case a simple speed change) on a bunch of .wav files, no cleaned folder or any new files are created. I’ve reinstalled a few times as well as trying 2.0.3 but nothing is working. Halp

Does the Chain include an export command?
Where are the “bunch of WAV files” located? Is that location writeable? (you must have read/write permissions for that location).
The manual page is here:

The drive was set as read-only. Thanks!