OK. We're almost there, just two more quick steps and you'll be able to try your hand at some basic 3D modeling.
Go up to the file menu and choose Project -> Set.
This will bring up a dialog box with a list of all the projects currently in your directory. Choose the project you're working on and click Set. Doing this tells Maya which project folder to save scene files into, and where to look for textures, bump maps, etc.
This step isn't strictly necessary if you've just created a new project, as we have. Maya automatically sets the current project when a new one is created. However, this step is crucial if you're switching between projects without creating a new one.
It's a good habit to always set your project when you launch Maya, unless you've just created a new project