This data download tool is roughly equivalent to using the "Download" button at the far lower-right of the dashboard and selecting "Data", but seeks to make more clear which data on the dashboard is to be downloaded (here, the dropdown selection; there, the last place you clicked on the dashboard). However, due to the sometimes unintuitive format in which Tableau returns this data, you may also find useful the "Crosstab" option which is available via the mentioned "Download" button (and which will return a table for the last place you clicked on the dashboard).
Select the graph or table on the dashboard whose data you want to download. The default is to show "data currently displayed", meaning the text that is displayed in the table or the values of the bars or lines visible on a graph (as well as data in hover tooltips). However, the data may be an aggregation or summary of a more detailed dataset. To see the unaggregated data, select "Underlying data".
Select the graph or table