You have to create a variable filename and then use that.
For example in your script:
Set Variable $filename ; "Archive_" & Substitute(Get(CurrentDate);"/";"-") & ".xls"
Exports Records ; $filename
Set Variable [$Path; Value: "File path expression you specify" & get (filename) and MonthName( get ( currentdate ) ) & Day ( get ( currentdate ) ) & ".xls"]
Now enter $Path as the export record step's Output File.
To get a leading zero on your day number, you will have to add some more code to do that for most typical system settings.
There are a number of get functions you can use to help build the file path to the location where you want to export the file.