To create a Control Report, you will need to select the location where you would like to save the file (see the screenshot below where the option to select your location has been circled in red) and give the file a name (see this Knowledgebase article for more details).
We do recommend that you create a new Control Report every time you import data.
If you have trouble opening your Control Report following the changes to how Blackbaud products integrate with Microsoft, please see this knowledgebase article.
Also, please note that our support team has no way to know where you have saved your Control Report or what you have named it. To locate your Control Report, you will need to access it on your system from the folder that you selected when you created it.