Hi!

Go to step 5 - Export, and then choose "Export the website to disk" - then X5 will export all the html files to your desktop, (if you choose this location).

But you can edit and tweak your pages with X5 if you want to: go to step 2 - Sitemap Creation. Click on the page you want to customize, and hit the page/level properties (option on the top). Then hit Expert in the popup, and insert your custom code there.
Please let me know if I can help you any futher.