Hi, Johnna,
The Default Extension must be specified – either html, if you make only simple static pages or php, if you create pages with some sort of interactivity. The Default Extension will be used for all pages that you create. The pages with interactive plugins or stacks will automatically change their extension to php. Many of us use php for all pages as a default.
To do local export, click File>Export Site in RW menu bar (screenshot). You will be prompted to choose the location (the Desktop may be one of the alternatives to choose) and click ‘Export’. Exporting can take from seconds to minutes – depending on the size of your website.
Open the destination folder and review all the files within. You should see this file: 
And remember – the sitemap page is created automatically and it will have the xml extension. If you’ll attempt to create it yourself, it will bear the default extension (either html or php), which you don’t want.