'Saving' can mean several different things with PedPro - saving the pedigree data file, saving data as you work, exporting pedigrees as PDF/Image files, or saving your data in a different format (exporting).
In normal usage, you don't have to do anything to save the pedigree data file other than to close PedPro when you're done and confirm that you want to save the changes when prompted. The first time you do this after creating a new data file, PedPro will ask you for a filename to save as. You should save the file in the normal folder on your computer you use for your other data, such as documents.
Just as it is important to backup your other documents, it is essential that you backup your pedigree data file(s) from time to time: if you lose a pedigree data file you will lose ALL the information you have ever entered into it.
You can also save the currently open data file under a new name - use File|Save As.
The way PedPro works is that when it opens a pedigree data file, it reads the entire file into memory and works with the in memory copy. Changes you make whilst using the program - such as adding/editing records - are made to the in-memory copy. Then when you close the program, you are asked if you want to save the changes. Assuming you confirm this, the data file is rewritten and the program closes. But if you choose not to save the changes - e.g. as you might do if you realize you made a lot of changes in error - then your (previously) saved file is left as is. If the program is terminated without saving the file, changes you have made since opening the file are lost.
If you want to save your data file without closing the program, you can do this by choosing File|Save. PedPro will remain open but all changes you have entered prior to that point will be saved to the computer's file system.
Instead of printing a pedigree (or other form) to a physical device you can export it as a PDF or image file. For further information see Printing - Exporting As PDF/Image Files.
This is where you save your pedigree data in a different format, such as XML or text (CSV) - usually in preparation for importing your data into some other software. It can also be used to export the data as HTML or PDF in the style of a tabular report. For further information see Exporting.