To create a new cover letter go to the menu,
Jobs » Cover Letter Templates » Add a cover letter template...
The cover letter editor will open with a blank cover letter. The cover letter will not be saved until you click the Save button. Upon doing so you will be prompted for a name as shown below,
Each cover letter must have a unique name. Upon assigning a name, click OK to save the cover letter. Cover letters are saved internally to JobTabs so you need not be encumbered with constraints imposed by the operating system. Use a name that makes sense to you and save the cover letter.