Sampling colors from your desktop is only half the story. The other half deals with exporting the palette in various formats.
The export actions can be invoked from the bottom menu on the color palette:
Export as an Html Color sheet with the Hex, RGB and HSL values for each color
Export an .ACO file with all your sampled colors.
Useful if you want to do some scripting with your sampled colors. You can also load colors from a JSON file.