You need to understand what each of the following three buttons do:
If you want to create a newly named copy of the current file you can rename it by clicking on the filename in the file's tab in Mu.
It's tempting to name your new file that uses the turtle
module as "turtle.py". Don't do this! If you name
your file after a module you're using in your code
then Python will break because it's trying to import
your code rather than the code from Python's standard
library!