^^^^Yeah he's right, you got to lay out your patterns in the "Playlist" first, click "SONG" mode (not PAT - Pattern), then go to save as or export.
If you don't know what the playlist is (click the PL button or hit F5), that's the place where you arrange and mix the individual pattern sections. Basically it's the place where you build your entire song together. Then just click the Song mode next to the play button to hear that entire song arrangement and leave it on song mode if you want to export that entire song as a MP3 or Wave audio file. PAT (Pattern) mode only plays the individual pattern that your selected on.