You have to add your comp to the render queue. If your comp name is "Comp 1", click on "Lossless" next to Output Module. This will open the Output Module Settings. Click the dropdown next to Format and there you go, more formats! I will say avi is the best format with the highest quality. If the problem is the size of the video what I suggest (what I do) is to render it as avi in the highest quality. I then insert it into Sony Vegas and render it as a wmv which reduces the file size dramatically.
If you need any more help, just reply to this message and I will do my best to help you!