Start Exchange Management Shell.
Give your self rights to do export and import
Command:
New-ManagementRoleAssignment –Role “Mailbox Import Export” –User Administrator

Then close Exchange Management Shell and restart it.

Now export mailbox using this command:
Command:
New-MailboxExportRequest -mailbox user@domain.no -FilePath \\localhost\temp$\user.pst

The export command needs a UNC path for the filepath. I have just created a hidden temp share. Remember to delete temps after job is completed 🙂