It's running live from your USB stick! That means everything you do here will be erased once you shutdown. So don't make the mistake of rebooting!

Do not remove the USB from the computer at any time for you might lose your coins.

You can make a Live USB with persistence enabled, meaning that any files you save are saved to the USB drive, so you don't lose anything on reboot. I don't know if you can do it from Windows, but the Live USB Creator tool in Ubuntu has a one-click option for persistence: