How to use New-ComplianceSearchAction -Export to export content search results and download locally?

• When you export search results, the data is temporarily stored in a Microsoft-provided Azure Storage location in the Microsoft cloud before it's downloaded to your local computer. Be sure that your organization can connect to the endpoint in Azure, which is *.blob.core.windows.net (the wildcard represents a unique identifier for your export). The search results data is deleted from the Azure Storage location two weeks after it's created.
• If your organization uses a proxy server to communicate with the Internet, you need to define the proxy server settings on the computer that you use to export the search results (so the export tool can be authenticated by your proxy server). To do this, open the machine.config file in the location that matches your version of Windows.
  • 32-bit: %windir%\Microsoft.NET\Framework\[version]\Config\machine.config
  • 64-bit: %windir%\Microsoft.NET\Framework64\[version]\Config\machine.config
    <system.net>
       <defaultProxy enabled="true" useDefaultCredentials="true">
         <proxy proxyaddress="https://ProxyServer :Port " 
                usesystemdefault="False" 
                bypassonlocal="True" 
                autoDetect="False" />
       </defaultProxy>
    </system.net>
  • Add the following lines to the machine.config file somewhere between the <configuration> and </configuration> tags. Be sure to replace ProxyServer and Port with the correct values for your organization; for example, proxy01.contoso.com:80.

For more information, please visit: Export Content search results | Microsoft Learn