I was having the same problem, but with a bit of googling i
found the solution. I'm using version 10 but shouldn't make much
difference. Just clip on the tab "Sharing" (next to Overlay, title,
audio etc). Then click on 'create video file'. Just choose the
video standard setting, then you can choose where to save it, and
what format (.avi, .mp4 .mpeg etc). Its amazing what a bit of
research can do! 
