In the File menu you can find the following options:
To open any supported file:
Open recent… allows you to chose from a list of recently-opened scores.
Save…, Save As…, Save a Copy… and Save Selection… allow you to save native MuseScore files (.mscz and .mscx).
Export... and Export Parts... allow you to create non-MuseScore files, such as PDF, MusicXML, MIDI, and various audio and image formats. In the Export dialog, you can choose which format to export to:
MuseScore remembers which format you picked the last time and makes that the default for the next time. Note: There is a known issue with Windows XP and Vista, where you have to manually (un)set the filename's extension when choosing a different format than the one selected the previous time.
Print... allows to print your MuseScore file directly to a printer from MuseScore. Depending on your printer you will have different options, but generally you can define the page range, number of copies and collation.
If you have a PDF printer installed, you could also "export" to PDF using Print, but it's usually better to use the native PDF option under Export for more accurate rendition. Note: For this to work properly with Adobe PDF, make sure to uncheck "Rely on system fonts only, do not use document fonts" in Printer properties.