Sony Vegas Editing system - how do I save what I have done?

I cannot figure out what I am doing wrong here.
Have footage on a camera I want to make a movie with by using Sony Vegas. When I plug the camera in a window pops up that asks me to open up files and the icons for each clip of footage I have taken appear.
I drag each icon (the ones I am using) to the Vegas system and try to put them together in some fashion but cannot seem to save them.
There doesn’t seem to be any info on the (?) but how to save online.

What I want to be able to do is to edit some movie the way I want and save it someplace where I can retrieve it anytime to either email it or make a disc from it.

Any help? Thanks again