The export you used allows you to export the "skeleton" of your activity so that you can share it with a colleague who has an account, so that he can run a copy of the activity directly from his Studio.
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To use the KLX that you sent him, he will have to import it into his Studio.
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If you were looking to download the results of your Activity instead, here's how to do it: Download Activity Data
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And if this Activity is a Session, here's how to handle this particular case: Close a Session and generate a report