From what I can recall, if you create a CSSMW menu in an html page, the menu is written directly into the page code in a <ul></ul> block, along with some javascript and css.
If you add a CSSMW to a php page, it writes the menu into a separate php file and puts an includes statement in your php page
If you re-renter the wizard, you can (and should) save the category and theme as a new preset.