Yep, this happened to me as well. When I clicked on Project->Generate ALX file; nothing happens. No notification, nothing.
But the truth is, the ALX file is just a simple XML file. So, you can actually create it yourself.
Just copy and paste the text below into a file named <appName>.alx; modify the necessary sections,(the most important is the <files> tag) and just use the Desktop Manager to install it.
Ozan Safi 