When you in AP click GDPR > Account-Level Actions > Choose user > Personal data export > Export a mail is sent to the mail address that is registered to the chosen end user account. The mail contains a link that when clicking it opens the computers standard browser, which downloads the export data file.
Note that you as a GDPR-handler yourselves not can receive a personal data review using this function. For this purpose the tab Personal data must be used.
When you as End User in the top right corner in SSP click User button > Personal data protection > General > Create report containing all personal data and send by email > Download you can choose between two different format: XML and JSON. When clicking here a mail is sent to the mail address that is registered to your account. There you will find a link that opens your computers standard browser and download the file. You can also get this mail by contacting the system GDPR-handler.
Note, that where the file end up depend on what browser is set as standard.
Use a suitable reader depending on what format you chose to download.