If exporting only a project 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. This zip file will be left in the folder JIRA_HOME/export/projectconfigurator, or alternatively, you can click Download Exported File, which downloads the file immediately to your browser. 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 at the end of the summary the full path for the created .zip file is shown.