If exporting only configuration, the created XML configuration file is downloaded immediately to your browser. Most browsers will offer the options of opening it or storing it in the local computer.
If exporting complete projects (i.e. configuration, data and attachments) the export will create a .zip file that will be left in the folder
JIRA_HOME/export/projectconfigurator. You will see a page like this with a summary of the export:
The "Export summary" shows the steps performed during the export, with details of the number of attachment files found for each project. Notice that at the end of the summary, the full path for the created .zip file is shown.