I'd do some more changes:
Code:
  CFileDialog FileDialog(FALSE, _T("txt"), _T("downloader"), OFN_CREATEPROMPT|OFN_HIDEREADONLY |
    OFN_SHOWHELP|OFN_OVERWRITEPROMPT|OFN_LONGNAMES, _T("Save the file as (*.txt)|*.txt||)");
  if (FileDialog.DoModal() == IDCANCEL)
    return;

  _TCHAR sFileName[MAX_PATH]; // 260, not 255 
  BeginWaitCursor();
  UpdateData(true);

  _tcscpy(sFileName, FileDialog.GetFileName());

  sourceFile.open(sFileName, ios:ut);
  if(!sourceFile.is_open())
    AfxMessageBox( _T("file for saving not opened"));
  else
    for (POSITION Pos1 = pFrame->Batch_boardList.GetHeadPosition(); Pos1 != NULL
      sourceFile << pFrame->Batch_boardList.GetNext(Pos1) + _T('\n');

  sourceFile.close();