This option opens the Export Object List dialog, where you can export all the directory data which is shown in the current object list panel.
According to the output format, you can choose between Microsoft Excel, XML, LDIF or raw text. Please note that on the right side of the Export Object List dialog, there is NO REAL data shown: It's only an example how it MAY look like - it's just DUMMY data!
Read all about object list export and the options in the Export Object List dialog in the manual topic Exporting Object List Data.
Another, faster way to export the object list: Open the context menu directly in the object list (right mouse-click) and use the option Export Object List:
By the way, you can only use this option if you are in the object list.