The "DRM2 DIR" option simply lets you choose where "DRM2.key" will be created. Preferably, you should set it to a place that you can find. (Otherwise, you won't be able to find DRM2.key. >,<)
By default, it is set to to folder that
drmdbg is located. Also, the option to create a separate folder for the "DRM2.key" is enabled by default. Let's say that drmdbg is located in C:\drmdbg. By default, the DRM2.key file would go inside C:\drmdbg\DRM2\DRM2.key.
In the "simplified kit", I made a very simple adjustment to the ini file that disabled the "Create DRM2 Dir" option by default. Thus, the key would simply appear in the same folder as drmdbg.
If the file isn't being created at all, then the problem might be that drmdbg just isn't finding the keys. (Which is why it doesn't export anything...)
As for your problem... Some people have been reporting that Yahoo! Music isn't working with drmdbg. One user reported that
FairUse4WM 1.3 works for some reason.
Do you use
Yahoo! Music?