How do I use the PowerShell command New-ComplianceSearchAction -Export to export search results to specified location and then download them locally?

Question

We need to do a compliance project. We want to export the search results to a specific location through PowerShell, and then download them locally. How do I use the PowerShell command New-ComplianceSearchAction -Export to export search results to specified location and then download them locally? Both use the PowerShell command.

I saw this sample in offical documentation:

New-ComplianceSearchAction -SearchName "Case 321 All Sites" -Export -SharePointArchiveFormat SingleZip -ExchangeArchiveFormat PerUserPst

But it doesn't say how to export the results to a specific location, and how to download them locally.

Any help or guidance would be greatly appreciated!