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Navigate to where you want to save the file, enter a file name and click Save.
Training Resources
OneNote Version 2013
Microsoft Videos: http://office.microsoft.com/en-us/onenote-help/training-courses-for-onenote-2013-HA104032124.aspx
OneNote Version 2010
Microsoft Training Course: http://office.microsoft.com/en-us/support/getting-started-with-office-2010-FX101822272.aspx