Nope, nothing is wrong with your program.
If some of the menu options are grayed out, then you are in "Quick Start mode". The Quick start mode is just this, a fast layout, that you can use or just bypass it.
Therefore, after you press the "Continue" button (on the right of the screen) you will be able to save, import, export, as well as use all the TFP features.
TFP, as any program, has a learning curve. The best way to learn the program, IMO, is practice + practice + practice => Read and follow the manual (this is important), see the videos => try to create elements not related with your project, so you will become familiar with the commands and how to develop the different components.
If you are interested, I have several training e-books. See links in my signature.