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After selecting the file, click the Search button. Rather than populating the search results window, you will simply be prompted for the name of a file to download the results to.
For either the standard or batch search, when you download records, they will be saved in binary MARC format (MRC). You will need to re-open the saved file in MarcEdit and convert it to Mnemonic format (MRK) to actually view the records in the MarcEditor.