It is normal to save the lexicon at the end of each session (as long as you are not using the Default lexicons which are Read Only), so that the new words and word frequencies the computer has learnt will be available for the next time you use it. The lexicon file saved contains not only the words known but statistical information about their usage and also your preferences for the use of Penfriend XL, such as the position of the windows and whether the system should learn new words.
The lexicon is normally saved automatically at the end of each session with Penfriend XL as long as you have first saved the default lexicon under a new name; this is controlled by the Save on Exit option in the Advanced Preferences dialogue box. If this is switched on, you need not worry about saving. If it is switched off, you should go to the File menu in any window and select File > Save or File > Save As... from the menu. This has the advantage of letting you control the saved window positions more accurately.
When you exit from Penfriend XL it will note the name of the lexicon that you were using. When you restart Penfriend XL, it will look for the previous lexicon, and restore all of the settings including window positions to the state they were in when the lexicon was saved. The name of the last lexicon is recorded in the Windows Registry for each login user of the computer.
You can save the lexicon under the existing name using the menu option File - Save or you can choose a new name using File - Save As... . Either way, Penfriend XL will attempt to reload the same file when it is next loaded.
It is recommended that you have one lexicon per user, although you may prefer to have one per topic of writing, or to follow another scheme of your own choice. The lexicon directory section explains this in more detail.
Note that if you close all of the windows, the lexicon will remember that only the last one open (from the choice of the Prediction window and On-screen Keyboard window) will be opened the next time you use Penfriend XL. If you use both, this can be a bit disconcerting.