First you must create a directory where to save your scene. You can save it in "c:\rted\Scenes\edtut1\" directory. You must create it with File manager or explorer or other programs. Then from menu "File" select "Save As...". A Dialog box will pop up.
Select the directory, then choose a file name which finishes with ".rt". You can choose "edtut1.rt".
Press OK button.
Now you have created the scene file. On the title of the window you should see this: