When exporting, by default the file will be saved to the Files Folder of Blackbaud Hosting Services. When choosing where to save, if the "Save In" drop down has the highlighted selection like the image below, you are saving into the Files Folder.
User-added image

To export to the local machine or network drive you will proceed to the bottom of the drop down shown above and choose the local or network drive to save to. Once this is done the file will be located on the local or network drive. For more information on how to do this, refer to How to export or save files from Blackbaud Hosting Services to your computer or a network location