If you are using version 4.0 of DSM, make sure you follow the setup instructions: https://designspark.zendesk.com/hc/en-us/articles/360010645273
The 'Translators' need to setup before you can export certain formats like STL, OBJ.
There is a setup.exe file in that folder labelled 'Translators'. Or, you can use the install wizard and complete step 2.
The main install wizard: