For the sales reports:
Go to Reports > Payments > Date Range Reports (tab) > Generate a report
Under "Select report type" select Transaction, then Generate
After the report is generated, download it to a known folder on your computer
For the returns report:
Go to Reports > Fulfillment > Returns > Download Tab
Select the date range starting at Jan 1st up to the date you currently have data for, then Generate Report
After the report is generated, download it to a known folder on your computer