It's pretty late (early) where I am, so I'm not going to do much right now, but the following will be helpful for further figuring out what's going on.
In the "Save As" window shown in your post, you selected "Desktop" in the "Libraries" section. In the right-hand pane, you have two entries: Desktop and Desktop Icon. Right-click on "Desktop" (the one in the right pane), select Properties, and let me know what is in the "Target" box.
Scroll up to the top of the Navigation Pane. There ought to be several items above the "Libraries" section (see below). You likely won't have the same 6 items in this screenshot, but what do you see there?