Paste the output of the CMD window.
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!