The playlist right now will only pop up the save dialog once (the first time you try to save, if you haven't loaded a playlist already). Once a playlist is loaded, it will assume that you want to save to that one. Since this is not the behaviour of any other program that uses playlists, it will be changing to always prompting you for a name in LimeWire 4.2. The next beta (4.1.3) will have this.