QTP will always store objects into local object repository during Recording operation. You will have to use Object Repository Manager to save Local Repository as a Shared object repository and will have to associate it with your action.
Refer help files related to Object Repository Manager.
1.After recording a script just click on Object Repository icon.
2.Now u will be able to see Object Repository window/Interface.
3.Go to File-> Export local object (click)
4.Now you will be able to save it as .tsr
I faced the same problem. See the steps below if it helpts.
Steps to create Shared Object Repository in QTP 9.2
By default QTP created Local OR per Action in QTP 9.2. In QTP 9.2. first objects are recorded and then the script is recorded for creating shared O.R.
Following are the steps to create shared O.R.
1. Started QTP. File->New->Test
2. Go to Menu->Resources->Object Repository Manager. By default it creates new O.R. named ‘repository1’. Go to file option of O.R. Manager and do save as and save with the name and at the location of your choice.
3. Open the browser of which you want to add the objects. O.R.Manager Menu->Objects->Add Objects. And Click on the browser. It will confirm the object before adding. After that a small window to set filter for the objects pops up. Select the object types you would like to add to the repository. Click Ok on the select object type widow and Click Ok on the filter window. All the objects on that page are added.
Note: Browser is added using Object->Add Object option as at least one object should be recorded before using Object->Navigate and learn objects option of the O.R. Manager.\
4. To associate shared O.R. with the Action. Main Menu->Edit->Action->Action Properties and then associated Repository and attach the shared O.R. by browsing to the file and then set it as default. Also make sure form the Main Menu->Resources->Associate Repositories.
Note: before adding objects in bulk using the option mentioned above. O.R. Manager navigate and learn; it is very important to understand the object types and set the filter accordingly. Click on each ‘+’ sign and select only those required.