Hi,
you go to https://onenote.com an log in, then you should land on the Notebooks page with a list of all of your notebooks. If you don' land there, just click the link here again after logging in to your Microsoft account and it should lead you to that page.
Now, this is important: Change your language to English (United States) by clicking select language (or whatever that is in your language) in the bottom left corner of the screen. If you have selected any other language than English (US), the export will not work. I don't know if that is a bug or an intentional feature by Microsoft, but it is quite weird.
Afterwards, right-click a notebook and select export notebook. It will then open a new browser window with the option to download the notebook as zip file.
Hope that helps!
Regards from Germany (had to find out about the language thing by googling a lot)