To save your 3D scene as VRML-file you can do one of the followings things:
"Save" will simply save your 3D scene.
"Save As" allows you to save your 3D scene to a new place. This action will open the "Save VRML Scene" dialog box:
"Publish With All Resources" allows you to save your 3D scene with all resources files (textures, inlines,..) to a new place. This action will open the "Publish VRML Scene" dialog box: