[Plugin: Simple WordPress Backup] Where is the back up saved to?

When I click the ‘Create Database Backup’ button, it gives me the message “Database Backup had been created.” Where does it save the backup to?

Also, under the ‘Database Backup File name’, it doesn’t list out the most recent backups?

Am I missing something here?

http://wordpress.org/extend/plugins/simple-wordpress-backup/