The Export Settings screen lets you define how the lookup data is to be exported. The exported data is CSV file containing a single column with all of the lookup choices.
The settings are divided into two sections.
You can choose to export the selected data to either your computer or via email.
Despite being called a CSV (comma separated values) file, the values can be separated by punctuation other than a comma. You can choose from several different separators. You would choose a specific value if you plan to import the CSV file into another application that expects a specific separator. If unsure leave the default of a comma.
It's possible that a value in the CSV file contains the same punctuation used as the Field Delimiter. When this happens the value must be placed within the Text Delimiter. You can choose either the double-quote or the single-quote. Again, you would choose a specific delimiter if another application expects it.