I had been a long time I haven't working with Seimen, and I hope I can help you. To make a new program and save there are quite few steps you have to do. I don't know you notice but Seimen has conversational build in the control I will save you a lot of time compare to G-code.
To make new program in G-code: Select Program->Select main program->Type in MPFxxxx(number you like)->Select new progrom-> type in the G&M code you want...... blahh blahh when done Select save program->Select in new Workpiece->type in the name you want up to charater->Hit Input. You just make a program and save.
To run this program on NC side, you need to exit to main screen(Position screen) then call the program up and execute.
Hopefully will give you some idea.
The best way to learn is trial error.