How do I get my crypto off the exchange?

I'm a bit confused about the process of withdrawing my cryptocurrencies from the exchange. Could you please explain it to me in a step-by-step manner? I've heard about wallets and private keys, but I'm not entirely sure how they fit into the picture. Also, are there any specific security measures I should take to ensure the safety of my funds during the withdrawal process? I'd appreciate it if you could provide some insights into this matter. Thank you in advance for your help!