In the Save Session as Site dialog you specify the name of a site for your session configuration. You will get the dialog either after clicking the Save button on the Login dialog; when storing the opened session; or after clicking site hyperlink with save extension.
Type the name of the new site.
To store the site into a folder, select its name from Folder selection or type the name of a new folder.
If you have specified a password on Login dialog, you will have the option to save it as well using Save password checkbox. However this is not recommended (unless protected by a master password). Learn more about security when storing passwords.
Use Create desktop shortcut to create a desktop shortcut to open the site.