Actually the file generated by the master at SYNC time is a normal snapshot file (i.e. rdb file), written at the same location than any other rdb files.
This location is set in the Redis configuration file of the master instance - see the dir and dbfilename parameters.
For instance to generate dumps in /data/redis/dump.rdb
# The filename where to dump the DB
dbfilename dump.rdb
# The working directory.
#
# The DB will be written inside this directory, with the filename specified
# above using the 'dbfilename' configuration directive.
#
# Also the Append Only File will be created inside this directory.
#
# Note that you must specify a directory here, not a file name.
dir /data/redis
Of course, the user Redis is launched for must have proper access rights to this location.
Now, on slave side, the dump file read from the master is copied into a temporary file, whose name is something like temp-%d.%ld.rdb (including a timestamp and pid). The file is created in the working directory, which correspond to the dir parameter in the configuration of the slave instance. So even if RDB is not active on slave side, the dir parameter must be set correctly and point to a directory with suitable access rights.