Are you using a USB flash drive or an external HDD? The NVR will not likely see an external HDD connected to the USB port.
If you are plugging a flash drive directly into the USB port on the NVR then you would perform the export in the menu system of the NVR. Please note the flash drive will likely need to be formatted FAT32. If the NVR detects the flash drive you will see a screen showing any files already on the flash drive.
If you are using the iVMS-4200 client software exports can be done from the Remote Playback screen. While playing back, right-click or control-click the picture and select Download to see a list of data files for that camera. There is also a Download button just above the timeline. Files will be downloaded to the file path setting in System Configuration. Once you have downloaded the files they can transferred to flash drive, external HDD, etc.