Do you have iMovie HD in your applications folder, which is different to iMovie '09? Imovie HD allows you to save and save as.
I haven't really looked a iMovie 09, because I do video edditing in Final Cut, but I help set-up iMovie HD for someone who wanted to edit some footage of their wedding and it seemed rather simple.
Just looked at iMovie '09 does seem a bit odd, the way you can't "save and save as".
***edit - ok it seems like it just keeps all project saved and you can access all your projects on the top left hand corner tab >project library.
I'm just about to embark on editing and adding motion graphics to a movie trailer, for that I will use Final Cut and After Effects - fun