You are using a tutorial based on and older version of ArchiCAD (probably 7) and things are different in 8.x.
The procedure is now: File > GDL Objects > Save ____ as (where ____ may be "project", "selection", etc. depending on which window you are in and whether something is selected or not).
The .win file type is no longer used. Library parts are now internally categorized by subtype. This is set by the Select Subtype... button it the main library part editing dialog.