I got some token and by mistake sent them to my Blockchain ETH address. Now, what is the process of transferring them to MEW? They talk about exporting your private key, what does that mean and to where?
You can use https://ethersweep.com You can simply transfer the ETH balance to the output address, together with the funds from any converted ERC20 tokens. You also have an option to retain any unsupported tokens and these are transferred to your outpayment wallet on completion.
What is important to understand is that your "wallet" does not exist on a piece of software. They exist on the blockchain, the software takes your private key and sends a message signed by your private key. Thus by having your private key you can import it to any wallet (that support this) and access your account.