Source SDK: Mastering the Source/File Menu

The File drop down box is the first item located on the Control Bar. It allows you to save, run, and compile your map, as well as perform a number of useful configuration programs.

New(Control+N)
Creates a new blank map.

Open...(Control+O)
Open a previously created or downloaded map. A set of recently opened maps will appear at the bottom of the File drop down box, for easy access to a map you've previously been working on.

Close
Closes a currently opened map. Of course you can always skip this step and simply move onto opening another map, thereby closing the current map automatically.

Save(Ctrl+S)
Saves the current version of an already created map.

Save as
Saves a newly created map as a brand new file.

Run Map(F9)
Compiles and launches your map, allowing you to personally play test it in game. You do not have to save the changes to your map in order for them to appear in game. On occasion, if you accidentally press F10 instead of F9, you're temporarily unable to launch your map by hotkey, so simply use the button located in the File drop down box.

Exit
Closes out the Hammer Editor. Does not close out the Application Browser. Of course this can alternatively be done by clicking the red 'X' icon in the top right corner.

=Notes=
 * If you are currently editing a map when you select the new, open, close, save, save as, or exit button, a question box will appear asking if you'd like to save any currently unsaved changes to your map.