In asp.net we haven't got SaveFileDialog because you'll have security issues.
However, you can use SaveFileDialog from System.Windows.Forms but all your clients must have de .NET Framework installed on their machines. So, also this isn't recommend.
You can make a file download, sending a file through the Response object and window's download will be shown.
Hey, you can see this:
http://www.west-wind.com/weblog/posts/2007/May/21/Downloading-a-File-with-a-Save-As-Dialog-in-ASPNET[
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And this solution may helps you:
how to open save as dialog box in asp.net[
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Hope it helps.