you have a few options

you can set the export type to custom and then override the following

OpenExportFile
DoExportString
DoExportEOL
CloseExportFile

or you can override methods at other points

here is some info on exports

at the beginning OpenExportFile is called and at the end CloseExportFile

for each row the following are called inside RequestExportRow

OnBeforeRowExport
DoExportFieldNames (if enabled and not exported yet)
ExportAllSubheaders
ExportBody
ExportAllSubtotals
DoExportEOL
OnAfterRowExport

when exporting data each sections DoExportSection is called