The export file, which is an XML representation of the slider, is created when a new slider is created or when it's updated. The file will be created only if the 'xml' folder (/wp-content/plugins/slider-pro/xml) is writable. In order to make it writable, you might need to change the permission to 777. I recommend checking with your web host what the best permission setting for making the folder writable would be.
If you're updating from a version older than 3.1, due to some changes introduced in that version, you will need to click on the slider's 'Update slider' button in order to generate a new XML file.