How are you writing your files? Are you using the Write LVM Express VI or some of the file I/O vis? This information will help alot.
You have to hit return if you have a dialog showing. You can create and write to files with any of the various functions without going through a dialog. Usually this is done by either placing the dialog in a case and only running it on the initial run of your loop, or by placing it outside of your loop so it runs only once before you start looping.
If you are using the Write LVM Express VI, you can set it to only prompt once. Then it remembers the path on subsequent iterations.
But, you need to give a little more information and maybe a sample VI to get a more specific answer.