Mario,
A war file can be created by selecting that you want ‘Archive deployment’ when you deploy your web project using the deployment management dialog. The dialog can be accessed by selecting your project and then right-click > Add or Remove Project Deployments…
The war file will be placed in the selected server’s deployment directory. We have an open enhancement request to allow export to a war or ear to any location and this will be added in a subsequent release. For now, you can just deploy to the server and copy the war where you want as a workaround.
–Scott
MyEclipse Support