Here is an example of the "Your Leads" table after a subset has been selected / filtered:
To download this data to a CSV file, click on the button in the upper right-hand corner:
When you do so, a file is downloaded to your local computer. In Chrome, this fact is noted with the following graphic along the bottom of the page.
On Windows machines, it is common for this file to be downloaded to the /[User]/Downloads folder. You can open it there, or click on the icon displayed at the bottom of the page.
Doing so opens the file in your default spreadsheet: