jqWidgets needs to send your grid data to a server, so this server can resend it to the user. This is how the user get the file like a download, you can't do that only on client side.
When you call 'exportdata', it uses a file which is located on jqWidgets' servers. You have to add the URL of your own server to make sure it won't send data to a third party. Look a the API here : http://www.jqwidgets.com/jquery-widgets-documentation/documentation/jqxgrid/jquery-grid-api.htm