Each tab above the status line represents a session, the tab for the active session will be yellow. The label of each tab will be the name of the file that the session is saved in; if the session hasn’t been saved the tab will read Unnamed.
You can save your current session by clicking on the Save button on the status line. If the session contains unsaved changes the Save button will be red; the button will be green when nothing needs to be saved. The first time that you save a session you will be prompted for a file name; you should choose a name that ends in .xws. Subsequent times that you save a session it will be saved in the same file; to save a session in a different file you can use the menu item File▸Save as.
If you have a session saved in a file and you want to load it in a tab, you can use the menu item File▸Open. From there you can choose a specific file from a list or open a directory browser that you can use to choose a file. The directory browser can also be opened with Alt-O.