I don´t know the english menu structure, but in german it´s "Extras > Anpassen > Tastatur > Speichern"
The dialog is titled "load" instead of "save"
See "Tools > Customize > Keyboard > Save..."
[Reproducible] with "LibreOffice 3.3.0Beta3 - WIN XP EN [OOO330m9 (build 22.214.171.124)]". OOo Dev300m94 also affected, but not "Ooo 3.1.1 WIN XP DE [OOO310m19 (Build 9420)]".