How does it work and what to do to set this up?
In the Export report window, you can navigate to your local folders. By design, the remote desktop window will show the local drives and folders from the Application Server, as this is where DeltaWMS is hosted.
Another suggestion is below;
Click File Tab.
Click in Preferences
Then Printing
Under Saved Reports Path Name, set this to a path to a location where you want to save the reports
Under Printer File, set this location to a location of your choice.
Click OK
Click YES
That should export reports to the local folder location that you chose.