I can't make export live in "File"

Learner again - I watched the video on how to export my video and took detailed notes (1 page, single spaced).  I can't even do step 1 which is File>Export>Media.  When I go to File the export function is greyed out so I thought perhaps its grey because it needs a file open to export, so I opened the file/project I want to export but it didn't make any difference.  I also tried the Export from the menu bar and it doesn't do anything either, so here I am, nice project and no where to go.  I can't get past step 1 because step 1 isn't working for me, what am I missing?