how to export out keymaps? I need to save out keymaps as I update shortcuts. In case I make a mistake, I want revert back to a previous update and not the default settings. 
I'm in the Export Key Configuration area in the Preferences window, and I don't know what I'm looking at, some sort of windows explorer system, with no save option.
It says I have to save a Python Script file... 
I'm not sure what that means, I'm not sure what that should look like, I can't tell what custom explorer file system does or how to save a file with it.
Blender stores the keymaps in a python script file, hence the .py extension. What you are looking at is Blender's internal file browser. Just give your keymap a name and browse to where you want to export the keymap and press "Export Key Configuration..." 

If you ever want to revert back to that exported keymap, simply press the Import... and browse to the .py file you previously saved. Voila.