The confirmation window in the screenshot appears when you request the export from the application. By default, the Export all data option will be selected for you in the Confirmation window. If you click Ok to proceed, all data pertaining to Contacts' standard and custom fields will be available in your exported CSV file.
However, you can export only the data pertaining to fields that a user have choosen to be available within the list view by selecting the 'Export selected columns only' option and click OK.
Hope this helps!