For this step, you need to have only one single "mesh" to the model. That means working thru all the separate component parts and welding them together (Union) so that they all properly merge into a single object.
Once done, select File/Save/Object and pick STL format. There are no 'settings' you can pick.. TrueSpace simply exports the entire mesh as one single file.
At this point, I like to bring the model into NetFabb Basic. (http:www.netfabb.com) It is a free program that checks the integrity of your model, tells you if anything is wrong with it, and also can do a few basic repairs.
I also use NetFabb to resize the model to the final dimensions desired. Since I usually work in feet, that means multiplying every dimension by 1.385 which NetFabb can do in a single step.
NetFabb also has tools for measuring the thickness of the walls. After resizing, use it to measure (many) points on your model looking for anything that is smaller than 1.0mm.. any of those will cause Shapeways to reject your model because it messes up their printers.
Click to download STL file.
Step 10: upload to Shapeways