Select a genes track, such as the default knownGene, and change Output Format to Custom Track:
Then get output and in the following screen select Exons plus 0 and finally get custom track in table browser:
Now back in the Table Browser, select the variation SNP track. Then select Intersection and select the recently created Custom Track:
Finally back in the Table Browser select an output format (e.g. BED) then choose a file name to prompt a download:
A quick explanation of the process: First we created a data track of all the exon positions in the genome, then we extracted all data from dbSNP that had any overlap with the exon track. Your output should look something like this:
If you would like to extract all the extra information from the dbSNP track and not just rsID and coordinates, then you can perform these same steps on the Data Integrator (genome.ucsc.edu/cgi-bin/hgIntegrator).
If you have any follow up questions, our public help desk can always be reached at email@example.com. You may also send questions to firstname.lastname@example.org if they contain sensitive data. For any Genome Browser questions on Biostars, the UCSC tag is the best way to ensure visibility by the team.