Exporting mysql Data

[BradleyStJ]

I have read some good tutorials through this forum, but am not sure of #3 below
When I am in mysql -phpAdmin and I wish to export my data to my harddrive,
do I:
1; check all of the boxs
2; Click on Export,
3; and then click on Go
(also; the presant files remain, and what I've done is like a copy/paste?????)

if so, where does it go to?????

Thanks
Bradley