Go to the Menu Options Window and find the Save button, which you should remember from like one page ago. Click on it and wait for the magic to happen. Give your file a name and hit Save.
Note: Saving your game with the same name as another file will overwrite the previous one. So basically don’t do that. If you wish to save your game in stages, you can name it in any sortable order, so you can recognize which one is the latest. “CapturetheFlag_1.pwsm, CapturetheFlag_2.pwsm”, for example, is a good idea.