The database does not contain the domain name information for you store. The authorized url is specified in the file <storeid>.auth (where <storeid> is the actual storeid assigned to your store). All files are referenced off of that url with pages being placed at the root of the authorized url and images based off of the media directory in the root of the url.
So if your storeid.auth file has the domain name of http://mystore.com/store all pages will be placed in the directory that corresponds to the domain name /store and all images will be in the /store/media/ directory or a sub directory of that. You can typically find the path on the server where the files will be by going to Preferences > Hosting services and then look near the bottom of the screen for the Output Directory: and Media Directory: values.
Since the urls will always be based off of the authorized url, there is no need to store the information in the database and since it isn't in the database it can't be downloaded with other data.
In your first post you said
The export only offers this:
http://www."mydomainname".com/LHRIUSP100V10
(without .html at the end)
The only way you would get a full url like that would be if you entered the complete url in some field, like the url for an image. If the page/product filename downloaded without the .html extension that is because no extension was entered with the filename. If the page file name or product moreinformation page file name is left blank then you will not get any thing in the download file. But when the page / moreinfo page is generated the file name will be created with pageXX.html or productXX.html where the XX is the database record number of the page or product.
If you need to have the full urls and not just the page file name or image name then you could download it as it currently is and use the concatenation feature in your spreadsheet to add the url to the domain as specified in the authorization file to the front of the field where the page file name or moreinfo page file name is found. For images make sure you add the /media between the domain url and the filename.