WordPress 3.0 export Links (blogroll ?)

Hello guys, I really need to exports my links to a txt file to backup the most important things… impossible. it looks like I can export to a strange format (never heard that before)… but exporting inside my wordpress V3.0 is impossible.

you guys, how do you do that ?

PS : I have only privates links and lots of comments…

Thanks a lot for your help.