Whenever I try to save my ue4 Building Escape It pops out this window

What should I do if I wanna save my work?

You have created a map but not saved it. It’s asking you where you want to save it. You should save it within your Content folder e.g. inside a new folder called “Maps” or “Levels”.

Is it because it is an untitled level?

When you create a level it’s not automatically saved.

ok, thanks!