I saved an export file from the ship to my PC and tried to import it, but I cannot find the saved export file in CMAXS import screen.

"Desktop" and "Documents" displayed on the folder selection screen refers to the desktop within the CMAXS server. To select folder or file in your own PC, please select "Computer" → "Client C (F:)" → "User" (note  [F:] might other character like [M:]) and choose the folder or file where you saved the file. Once you import the file, the folder you selected will be set as the default for future imports.