Oh when you clicked on New Return and it asked you to Save or Cancel that was for the current return you had open. So you should save that one unless you already saved it or don't want to save anything you entered on it since the last time it was saved. In Windows it doesn't automatically save. You have to select to Save. So save often while you are working in a return. Although it should ask you to save when you exit or start a new return.
And like I might have said before... be sure to save each return with a different name you can tell apart. So you might want to do a FILE - SAVE AS to give it a name you can find again.
