The [Printing and Plotting] option produces report files as it generates plots, but it does not ask for a location for the report each time it runs.
To find out where the reports are written, choose the [Plotting & Printing] option from the [Output] menu. Click the [Options] button and see where your plots are being written to. The box in the botton left corner informs you of this location. The plot reports are written to the same place.