The Save list function can be found in the File menu. This function saves the current password list, overwriting the old "psw" file which contained that password list.
The Save list as function can be found in the File menu. This function does basically the same operation as Save list, with the difference that you can specify the name of the newly saved file, so that you do not have to overwrite the old file.
In both cases, a small progress bar assists the whole process. If no errors occur during the process, you will get a List saved message.
NOTE: From the Options dialog box, you can set Password Depot to save your password list each time you change it.