Use menu File>Save AS... and save your work in a PSD file. Look at some of Adobe's beginner videos. Photoshop is a complex application you can not simply open it and know how to use it. You need to learn how to do things. Export Data Set is part Part of Photoshop Data driven Graphics feature. You need to be an advance Photoshop user before your ready to use Data Driven Graphics. I believe that most Photoshop users will never use Data driven Graphics.