You first need to decide weather you want to export All orders or just New or Shipped. For this example we're going to Export All orders.
Go to Orders -> All and on the right most side, near the Create Order button you will find two white buttons. Import and Export. Press on Export and in the drop-down menu choose your preferred option.
Export All: Will export all orders available.
Export Selected: Will export orders that you have marked with a checkbox.
Export Filtered: Will export all visible orders that remain after a Filter was applied.