The commands on the File menu should be fairly obvious, really.
New
Creates a new, empty document containing one byte whose value is 0.
Open
Reads in a file from disk. What did you expect it to do?
Close
When a document is closed, you will be prompted to save it if you have
performed any operations on the actual bytes.
Save
When you save a document back to the same filename you opened it from,
you are asked whether or not you really want to overwrite the file.
Save As
What you'd expect.
Save Copy
Writes the document to disk, leaving the filename associated with the
document unchanged. This is useful for making backups as you work.
Export Bookmarks
Writes the bookmarks in the current document out into a text
file (default extension *.bmk).
Import Bookmarks
Reads a bookmark file into the current document. Previously existing
bookmarks are deleted.
Exit
Exits from A.X.E., prompting to save any changed documents.