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.

To use the KLX that you sent him, he will have to import it into his Studio.

If you were looking to download the results of your Activity instead, here's how to do it: Download Activity Data

And if this Activity is a Session, here's how to handle this particular case: Close a Session and generate a report