To save a new Work Item Query:

Return to the Team Explorer view and expand the target directory to see your new query. If your query does not immediately appear, right-click the Team project or the Work Items directory and click Refresh to see the new query in the tree.
Note: Teamprise does not currently support the copy query task from the Team Explorer tree; however, you may open an existing query, modify it, and save it under a new name. Teamprise does not support the Delete query task. Queries must be deleted by your TFS Administrator.
Other MSDN Documents:
Add new work item query
Save a work item query
Adding and editing work items
Querying for work items
Related Teamprise Documents:
Work item context menus
Searching the work item repository
Viewing work item query results
Viewing and modifying an individual work item
Managing work items from the Team Explorer view