If the optional filename argument is not specified, the
file requester is opened, and you are prompted to select a file (you
can inhibit the file requester opening by using the
command; see NoFileReq).
If you escape from the file requester, you can input the file name on the command line.
This command is of course most useful for saving macros you just recorded. The macros can then be loaded as normal text files for further editing, if necessary.