Click Libraries, Click Work, Click the dataset you want to export. Right click the data set with the name in your original screenshot.
EDIT:
Oh, there are restrictions on removing data from Wharton if that's what you're using by the way so verify your usage restrictions as well. That's also why I can't just offer a code solution. The program won't have access to your local drives so it's more complicated. You could export it to a file on your server and download it after though. Wharton may have restrictions on the download sizes as well.
