As for no save, the database is designed to support concurrent use by many designers and the user interactions are saved in real time, even when running in single user mode. You can archive different versions of the design in two ways. If you are a single user then you can use a tool like Winzip to take a copy of the project tree (all files and folders), provided you are not using DxDesigner or any other tool that might be accessing the design. If you are uncertain that no users are accessing the database (CES, Expedition etc) then you can use the Archive utility, again under the Tools menu. This will suspend the database access as it takes the copy and then continue once the archive is complete. As a user you are unlikely to see any interruption in the tools whilst this process runs. If you just take a copy of the database whilst a user is active then you wll not be able to open the copy, you will get an error message explaining why.
The design is also backed up periodically (every four hours in 2007.6) under the .\database\cdbback folder. Each backup is a single zip file.
The File - Save menu pick is only enabled when editing text files for tools such as simulators.