When you export from Particle Designer all the particle systems that have been selected for export will be exported using the selected format in the defined export location. To set the export location:
1. Click on the gears area of the Export button
2. This will review a popup that allows you to select the export type and location
3. Press the select button which will display an open panel.
4. Select the folder where you want the particles system to be exported.
5. This location is saved with your project so does not need to be changed again unless you want the location to change.