happybird;
Select "Save as...". In the dialog Window you should have the option to create an .llb
When you are in LabVIEW, think of the .llb file as another directory. So, if you want to save the VI inside a library, select "Save as..." and navigate until you get to the library.
Also, (I think it is in the "Tool" menu, but I don't have LabVIEW in front of me right now) there is a utility to manage libraries. You can copy VI from and to libraries from there too.
Regards;
Enrique
www.vartortech.com