If you have created a project or have made changes to your project in this session, you need to save it. Select Project -> Save to do this.
If you have never saved the project before, a standard File Save As dialog box appears with the name for the primary source as the default filename, along with the extension .EQS (ESL QuikStep).
Tutorial
Select Project ➤ Save to save the project now as QSDEMO.EQS. (This should be the default name presented when you select Project -> Save.)