Bryce won't export any of it's own primatives, (the blue objects on the desktop.) Maybe they'll fix it in Bryce 6. You can import your own mesh Spheres, Cubes, whatever and put them together. You can export these back out but Boolean operations don't export. Only X, Y, Z changes save. If you use a mesh sphere and stick a bunch of negative cubes in it when you export you get a solid sphere and a bunch of cubes, not a sphere with windows cut out.