Vertex Colors Example
This example contains a version of the exporter (DXExporterVC.py) which exports the vertex colors of the object.
-Put this script in the Blender\.blender\scripts directory.Open the User Preferences
Window select the folder where the scripts are by pressing the button shown with number
1 in the image below(most probably is the Blender\.blender\scripts).Then press the other
button near(shown with number 2).Then the script can be found in the File menu-Export.
Or load it in the Blender Text Editor and run by pressing Alt+P.
Read Documentation for more info