Can somebody walk me throygh the saving? Every other game I've played does it automatically, but now I have to put it in a seperate file, manually, and I'm just lost.

I'm not sure what you mean by 'a separate file'.
After you click on 'Menu' and 'Save', a windows dialogue box comes up. On the upper left there's a 'file name' text field, just type the name for the save you're making in there and click on OK.

If you're worried about seeing two file extension types on the filename text field before you type a name in it, don't worry about it, , just delete whatever is in there, type the name you want and click OK.