From BlenderWiki

File operations

The options to manage files are:

File » Open

Open a blend file

File » Save

Save the current blend file

File » Append or Link

You don’t have to load a complete file, you can load in only selected parts from another file if you wish. See the “Appending and Linking” page.

File » Import

Blender can use information stored in a variety of other format files which are created by other graphics programs. It does this by running a script to import the file.

File » Export

Normally you save your work in a .blend file, but you can export some or all of your work to a format that can be processed by other graphics programs. To do so, you run an export script.