First, go to the Team HQ in your game, and select a robot. You'll notice an "Export Bot" button at the bottom. Click that, choose what you want to name the bot, then click OK. Your robot is now saved as a .bot file in the Robot Designs folder, in the same directory as the main game.
When you click on the Bot Lab, you want to Upload your bot, and depending on what mod and weight class it is, it'll be uploaded in a different place. Let's say you have built a Stock HW, you'll click on the Heavy Weight link under Stock Upload. On the next screen, select Browse, then go to your Robot Designs folder, and select the bot you want to upload. Once you click Upload File, your bot will be uploaded onto the Bot Exchange. =)