You are not missing a step and it is in fact working as it is designed. If you look up in your help in bridge and search for the Export to command you will get a full explanation, which I have also put below here for the benefit of those without CS5 as the Export To command does not exist in Bridge CS4.
If all you are trying to do is to move or copy files using Bridge CS5 you would be better off to use the Move To or Copy To commands off of the right click pop-up window. I have gone through the options in Bridge CS5 Export To command and there is no way to have it export anything except a JPG. It would appear that this is a somewhat variation of image processor to get images for uploading to photo sharing sites.
The Adobe Bridge CS5 Help
Export photos to JPEG
· Manage Export modules
· Use Export queues
· Export photos
· Export photos using presets
The Export panel in Adobe Bridge CS5 provides a streamlined way to save photos as JPEG and easily upload them to photo-sharing websites, including Facebook, Flickr, and Photoshop.com.
For more information about using the Export panel in Adobe Bridge CS5, see Exporting from Bridge CS5 to social media sites
by Michael Hoffman.
Important: When using the Export panel, make sure you have installed the latest Adobe Bridge update. Download updates from the Adobe product updates
page.
Manage Export modules
Adobe Bridge uses modules for exporting photos. Each module holds photos in a queue until you export them. Each module allows you to specify image size and other options.
Save To Hard Drive
Saves JPEG photos to a location on your hard drive .
Facebook
Uploads photos to a Facebook account. You can upload to an existing album or a new album.
Flickr
Uploads photos to a Flickr account. You can specify privacy settings before you upload.
Photoshop.com
Uploads photos to a Photoshop.com account, incluing to a specific gallery or collection.
§ To enable or disable export modules, click the Export panel menu button and choose Manage Modules.
§ To view your export history, click the Export panel menu button and choose Export Progress.
Use Export queues
§ To add photos to a queue, drag them from the Content panel to a module in the Export panel.
§ Hide/show the contents of a queue by clicking the triangle to the left of the module name.
§ To remove a photo from a queue, select the photo and click the Remove Photo button .
§ To empty an entire queue, click the Clear Job button .
§ Click the Reveal In Bridge button to go to a queued photo in the Content panel.
Export photos
1. Double-click a queue or click the Export Job button .
2. Specify options in the Destination tab of the Export dialog box:
§ (Photo-sharing modules) Sign in to the website.
§ Choose a location for the exported files, such as a Flickr set, a Photoshop.com gallery, or a folder on your hard drive.
§ (Flickr) Specify privacy settings for the photos you upload.
§ (Save To Hard Drive) Specify how to resolve naming conflicts. You can rename the files, overwrite existing files with the same name, or skip the file when you export.
3. Specify options in the Image Options tab of the Export dialog box:
Image Size And Quality
If you choose Manual Size instead of Don’t Resize, specify the following:
Constrain To Fit
Specify, in pixels, the maximum length of the longer side of the image. Adobe Bridge preserves the aspect ratio of the exported image.
Resample Method
Bilinear provides medium-quality results. Bicubic is slower than bilinear but produces smoother tonal gradations. Bicubic Sharper applies sharpening, making it good for preserving detail in resampled images.
Always Render From Fullsize Image
Creates the JPEG from the full-size image, not from a lower-quality preview.
Image Quality
Higher numbers preserve greater image quality and apply less compression.
Metadata
Specify what metadata and keywords to include with the exported image:
Include Original Metadata
Include all metadata, just the copyright, the copyright and contact information, or all metadata except camera and Camera Raw metadata.
Apply Metadata Template
See Work with metadata templates.
Additional Keywords
Enter any additional keywords you want to apply to the photo.
4. Click Export.
Export photos using presets
Presets appear as queues in the Export panel. When you export a job using a preset, Adobe Bridge bypasses the Export dialog box and starts the export directly.
To reuse settings, specify options in the Export dialog box, then enter a name in the Preset Name field and click Save.