Can you provide a step by step (with screen shots) of what you are trying to do.
And what you were expecting to see.
Your first post states that you exported and got no data just headers.
Your last post states that if you select thing to export it works.
So I'm not sure what you are doing differently.
Also what Kevin said, you should look into the error logs (Apache, PHP, and SQL) to find errors and post those.
