Not sure I follow this question. There is no need to "export" as SAS dataset from SAS. SAS datasets are the native format for SAS.
If you want to make the file 'mydata.sas7bdat' in the directory 'mydir' then you can either create a libref that points to that directory and use a two level name.
libname out 'mydir';
data out.mydata ;
....
run;
Or just put quotes around the physical name.
data 'mydir/mydata';
....
run;
Are you asking how to download a file from your SAS server to your PC?