In both Illustrator and Photoshop, the Export for Web window has three options at the bottom:
Done, Cancel and Save
Save will save the image for Web with the settings that you have selected.
However, Done and Cancel seem to do exactly the same thing: close the window without performing any saving action.
Why are there two options that seem to do the same thing?
Done – This option will remember the current settings.
Cancel – Resets the settings and closes the dialog.
Just hover over the buttons and a tooltip will popup.