If you are using the Digitize wizard from the Wizards menu, when you start the program running, a menu will pop up to ask what the file name will be an where you want it stored. You might want to try the other program Art and Brian created which can be accessed by going to Config>Config Plugins and enabling the 3D-probing plugin. This plugin has more control over the probing process. Don't forget to save your settings after enabling. And you'll have to restart Mach 3 to have the plugin show up on the menu next to "Help."