You need to run a content search then export the results of the search.
* Go to the Microsoft 365 Compliance admin center.
* Navigate to Content Search under the Solutions section in the left navigation pane.
* Click on + New Search to create a new search.
* In the Keywords box, type in 'merger'.
* In the Locations section, select Specific locations then click the Modify link.
* Click on the Choose users, groups or teams link.
* Type Alex Wilber in the search field the select his account from the search results.
* Click the Choose button to add the user then click Done.
* Click Save to close the locations pane.
* Click Save & run to run the search.
* The next step is to export the results. Select the search then under Export results to a computer, click Start export.
* On the Export the search results page, under Output options, select All items.
* Under Export Exchange content as, select One PST file for each mailbox.
* Click on Start export. When the export has finished, there will be an option to download the exported PST file.
Reference:
https://docs.microsoft.com/en-us/microsoft-365/compliance/content-search?view=o365-worldwide
https://docs.microsoft.com/en-us/microsoft-365/compliance/export-search-results?view=o365-worldwide