First of all the user account you are going to be carrying out the export as needs the correct permissions. The correct command for this is :
New-ManagementRoleAssignment –Role "Mailbox Import Export" –User UserName
If you don’t assign this permission then you will get an error when you run the commands below saying the command is not recognised.
You can only export to a UNC Path so create one first. Then the command below will start the export.
New-MailboxExportRequest -Mailbox Alias -FilePath \\SERVERNAME\SHARE\filename.pst
To check the export progress the command is below :-