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Depending on your setup, you can currently have each student save to their
own directory, if they have their own network folder (e.g., an "H:" drive
on Windows, that maps to a different networked folder for each student).
Alternatively, you can try the wrapper program, located here:

In the meantime, we are working on OS file dialog support as part of the
2008 Google Summer of Code program, and the request to add file dialogs are
documented elsewhere in the SF.net Features Request database (#1455978) so closing this
request as a dup. Thanks!