The report has finished exporting because when you check the export status, there is no pending export.
Here's a clarification:
Yesterday morning I ran an export of over 120,000 leads. Its started from 7:00 am and by 5:00 pm, it still wasn't done. I decided to let it run overnight. When I came in this morning, there was no more status bar, but the prompt to download wasn't there. Unfortunately, Marketo isn't intuitive enough to auto-download an export. Typically, in previous, smaller exports I get a prompt after processing that asks me to download. I got no such prompt in this one. Maybe my computer went to sleep, but I thought the export process was done remotely in the cloud and not locally so my sleeping computer shouldn't matter right? Where in the cloud does Marketo save that export that completed last night?
I ended up running the export process this morning again, but that previous export file could not have just disappeared in the ether somewhere...