Wherever the EXE is and whatever name you gave it.

Just run CMD with admin privilegs so it is allowed to write the file to your c drive.

Everything is literally fine, just the file wouldn't show up this way.

C:\WINDOWS\system32>C:\dokumenti\me7\me7_95040.exe --OBD -r -p 4 95040.bin
Ver: 1.30
Com Port: 4
Baud Rate: 10400
Opening COM4 ... OK
Initiating communication ... OK
ECU ID response: 022906032AR
                 MOTRONIC ME7.1  G
                 0004
Reading EEPROM .............................................................. OK
File saved
Closing COM4

I fixed it by changing it to "me7_95040.exe --OBD -r -p 4 c:\95040.bin", so now I can find the file right under the c: drive
The solution found its way!

I would've guessed so, but it did not. Maybe it has something to do with Windows 10 64-bit, but doubtful. At least I found a work around, which worked fine. 

CD first.

So:
cd c:\users\....