Arrangements are not saved as separate files. They are all saved in the single project file. One way to look at it, is to see arrangements as part of the project, the same way you see note sequences as part of an arrangement.
If you make changes you want to keep, but at the same time don’t want to overwrite the existing project/arrangement that was last saved, then you need to use the “save project as” to save to a new file.
If you want to experiment with an arrangement, yet still want to keep the original arrangement, then you can make a copy of the arrangement before you start editing. Right-click the arrangement in the list on the project start page, and select “new unique copy”.