Are you using the MS Wavetable Synth, or TTS-1?
If you are using the Wavetable Synth, as I believe you are, Export will not be available.
For Export to work, the sound must come from within the MC6 framework.
As Ryan alluded to, the Wavetable Synth is a (virtual) device external to MC. It will produce sound from MIDI sent to it, but it does not operate from within MC.
This is a huge problem with an easy fix. Don't use it.
Deselect it as an option from your Preferences menu.
Now, insert TTS-1 in your project.
Assuming TTS-1 is the only synth available to your MIDI track(s), the outputs will automatically switch to TTS-1.
After doing this, the sound will be coming from inside of MC, and you can export it.
And do those tutorials. They will help you get a handle on how this all works.