Click File –> New Project to create a new project (defaults to Project1). As you work, you can easily switch back and forth between this and the COS project by using File –> Recent Projects. You'll assign your project a better name (such as MyWork) when you save it.
Next, click File –> New to create a new ObjectScript routine. Notice that you can also create other kinds of files using Studio (not covered in this tutorial).
Eventually, when you save your routine for the first time, save it as a MAC routine. You can also use Studio to create INC routines. Here's an explanation of the difference:
Macro routines (MAC extension) can contain ObjectScript, macro code that gets expanded into ObjectScript, and references to Include routines. Compiling a Macro routine creates an Intermediate routine which contains only ObjectScript, and an object code (OBJ extension) version which is the low-level code that actually runs.
Include routines (INC extension) can contain ObjectScript macro definitions, and references to other Include routines. They do not get compiled; their code is included by reference from Macro routines.