If you selected all your files and clicked export, you've just prepared that device for use with a player (CDJ or XDJ).
If you actually want to back-up your rekordbox library AND all the music, click File > Library > Backup Library. You will be prompted that it will take a while, click OK. The next pop-up window you'll see will ask you if you want to backup your music as well:
Click Yes, then you'll be prompted with a browser window asking you to select the location (and rename it if you want).