Hey sisqonrw,
you need to upload product-feed.php in the folder of your theme.
you need to add the code from 2a. in functions.php (found on your theme folder)
you don't need to export anything, if properly set-up your feed will be generated automatically, and you will find it at http://www.yourdomain.tld/feed/products/
I know it's a long and boring read, but take while and read the whole article and the updates (found on the bottom of the article).
I've set up the feed for 10 clients so far (paying and non-paying), all of them were pleased. I can help you too, just leave me a message :)