Make sure you chose STEP -- not STEP Structure. If you don't have a structural model, the STEP Structure export won't do anything.
In Step 4, you are interacting with a file browser and selecting where you want to put the file. You can navigate to the Desktop or any other folder of your choosing. You are also setting the exact file name. Put it where you want it and can find it later.
Rather than selecting all components, at the top of the export window, you choose which 'Set' you want to export. It defaults to 'All' (though we may change this to Shown in the future).
Rob