Exported CSV from MySQL doesn't appear in specified directory
In windows use \\ or / while using in path of file. your command should be as follow


  SELECT * INTO OUTFILE 'C:\\Users\\Jim Smith\\Desktop\\zyzyz.csv'
  FIELDS TERMINATED BY ','
  OPTIONALLY ENCLOSED BY '\"'
  LINES TERMINATED BY '\r\n'
  from  limit 5;  


or    


  SELECT * INTO OUTFILE 'C:/Users/Jim Smith/Desktop/zyzyz.csv'
  FIELDS TERMINATED BY ','
  OPTIONALLY ENCLOSED BY '\"'
  LINES TERMINATED BY '\r\n'
  from  limit 5;  


Hope it helps