Steps for a Tree Export:
1. Create the Tree.
2. Shape the Tree as needed. Dont worry too much about the materials.
3. When you are all happy you then need to select Export from the File Dropdown.
This will give you a dialogue asking if you want to export both the leaves and the trunk, select the relevant option.
4. Bryce will pause a moment, but then it will give you the option to export in various formats. Choose the ideal format.
5. Bryce will generate a trunk and a leaves mesh, and will attempt to export textures as well but will not do a very good job of it.
Things you should know:
Bryce trees are spawned from metaballs, which has some benefits but also some drawbacks. In the case of exporting, the trunks of trees often use a lot more polygons that the leaves strangely. To reduce crashes something odd happens with metaball objects. The final detail of the export is affected by the scale of the object when it is being exported. For example, you can create a nice model with metaballs, and export it while it is still size 20.48 x 20.48 x 20.48. When you reimport he object you find there is a serious lack of detail. If you however increase the physical size up to100x100x100 the resulting model will have 4 times as much detail.
I know this seems really odd, but it is true.
With trees you will find the tips of the branches do not always export so well. So increasing the size of the tree right before you export it helps. But you would need to make the tree several thousand Bryce units tall before youd see any significant increase in export quality. And even at the largest scale, the very tips of trees might still not export fully.
This is a new feature with Bryce 7 and still has many quirks that will hopefully be ironed out in the next dev cycle.
Hope this helps and if not just pop back in and ask whatever questions you need.