OK.
If you have a document that you are working with as shown here in the tab:
And I go the the Channels Panel and select the "Blue Channel", right click it and then select "Duplicate Channel" this interface will appear:
If I make a change and enter the following info.........
Then hit OK. I get a new tab with the blue channel on it's own document just like you did. You can see it here on the right.
and here... (Just like yours)
Now, if I want to save that document to use as a displacement map or whatever...........I would save the new document I titled "Blue Channel" as a psd...
If I save it to my desktop, then that's were the psd file will be.....