I am using the following query to create a CSV file
SELECT email INTO OUTFILE \"mydata.csv\" FIELDS TERMINATED BY \',\' OPTIONALLY ENCLOSED BY \'\"\' LINES
I found my INTO OUTFILE files, created with the following command
select name from users into outfile "name.csv"
at the following location
C:\ProgramData\MySQL\MySQL Server 5.6\data\name.csv
This is probably the default location, as I've never changed anything.