Are you are doing a scheduled or On Demand extraction ? I'm guessing it is an On Demand one, please correct me if you are doing something else.
In a nutshell, if your request receives a 202 then it means the data extraction could not complete in a very short time (which is normal, especially if you are requesting more than a few elements of data), so you receive a locationURL which you must poll, until it returns a jobID. Only once you have the jobID you can retrieve the data.
The workflow for an On Demand extraction is explained in detail in the REST API Tutorial 3.
If this does not help, then please give us more details on exactly how you are proceeding.
Please also see chapter 4 of the REST API guide as it explains the steps involved. It also provides examples you can use to test this.