Answering my own question, for the record, you can get back to a place to set the directory and output file name by clicking on the world icon for "World Settings", then the wrench icon for "section: paths", and there you can set output dir and output file.

Strangely, when I posted my previous message, it seemed obvious how to get to this screen -- the one where you can specify the directories and files -- but it now seems impossible to get back to it.

I experienced similar problems, and just learned today that I must do two things:
1.  Make sure the textures are UV-mapped in Blender.  Textures that are not UV-mapped will not show up in
Blender Game Engine, nor export to CrystalSpace.  I think they also do not show in Blender "texture draw mode";
not so sure about that.
2.  Make sure the texture files are where walktest will be looking for them.  In the Blender scripts window,
I was seeing something like this:
Dir: /tmp
File: world.zip
Tex: texture
Trouble is, my texture image files were not in subdirectory "texture", nor in "/tmp/texture"; they were
in "./images".  I changed to
Dir: .
Tex: images
and everything worked fine.
(P.S. "." means the working directory in Unix.)