Erin Stellato explains how to use the XEvent Profiler in SSMS 17.3 and later:
It’s worth pointing out that neither the Standard or TSQL session writes out to a file. In fact, there’s no target for either event session (if you didn’t know that you can create an event session without a target, now you know). If you want to save this data for further analysis, you need to do one of the following:
1. Stop the data feed and save the output to a file via the Extended Events menu (Export to | XEL File…)
2. Stop the data feed and save the output to a table in a database via the Extended Events menu (Export to | Table…)
3. Alter the event session and add the event_file as a target.
Read the whole thing.