When clicking export, and choosing a location for your files, the upper-left-hand corner of Lightroom (where the logo is) should change to a progress bar and text field displaying the content currently being exported.
If you are using Lightroom 2 or older, and nothing appears to be happening about 5 seconds or so after clicking Export, check to make sure that the live preview of SlideShowPro (in the center work area) is not currently rotating / transitioning content. If it is, click the pause button in SlideShowPro's navigation bar to stop it. Your slideshow should then export.