Firstly, I believe that it is customary to post the code you have so far, however if you are compressing the files into one file, it would be quicker to ask for the filename as well. I've put a function below that could be called to get a dialog input from the user, however you will need to put error handling round it to check for an empty response case the user selects cancel.
Public Function UserInput_GetSaveFileName() As String
Dim CDLG_SaveFile As New SaveFileDialog
CDLG_SaveFile.CheckPathExists = True
CDLG_SaveFile.InitialDirectory = My.Computer.FileSystem.SpecialDirectories.MyDocuments
Dim CDLG_Result As DialogResult = CDLG_SaveFile.ShowDialog
Select Case CDLG_Result
Case Windows.Forms.DialogResult.Cancel
'User pressed cancel - do nothing
Case Windows.Forms.DialogResult.OK
'User pressed OK, return filename
Return CDLG_SaveFile.FileName
Case Else
'User has selected another option other than OK or CANCEL, do nothing
End Select
End Function