This option saves a file onto your harddrive or USB Memory stick that contains the working file system of Puppy Linux. When you boot into Puppy using the CD, the data contained in the file is loaded on top of the jOrgan Pup CD, thereby allowing you to save modifications to the system and the jOrgan models.
Click on Menu - > Shutdown -> Reboot computer
Within the shutdown sequence...
Select Save to File
Select OK
Then select where the saved file is to be located (if you are unsure what the numbers and letters mean here, just let me know and I'll help you with them)
Select OK
Select Normal
Select the size that suits your environment (I use option 8 - 1.25 GB)
Then click on Yes, save
Then wait for the save file to be generated... this may take quite a while
Select Yes regarding the 'Copy lupu-511.sfs' question (this will speed up your boot sequence from the CD)
Leave the jOrgan Pup CD in the drive
The computer will now reboot back into jOrgan Pup (if you need to press F8 or some other boot option please do so), using the settings that you have now saved
You will still need to boot using the Puppy CD, but everything will be run using the save file space, so anything you save will be usable after a reboot.