Mailbox exports are tricky. The destination path must be in UNC format (e.g. \\servername\sharename\file.pst) and your server, not your account, must have read/write access to the path. For example, if your Exchange server is MYEXSERV, then the share permissions and the NTFS permissions must grant MYEXSERV at least Read+Write/Modify permissions to \\servername\sharename. See New Mailbox Export Request Returns Access Denied.