You want to add your video to the render queue.
This page [link] should provide some useful info.
Also, these links:
FAQ: Why is my output file huge, and why doesn't it play back smoothly in a...
and
FAQ: What is the best format for rendering and exporting from After Effects...
As you're new to AE, I would highly recommend you start here:
http://blogs.adobe.com/toddkopriva/2010/01/getting-started-with-after-eff.h...
It is a free set of resources specifically intended to get the beginner in After Effects up to speed on the basics. You will avoid much frustration if you go through all the resources there before you try to do anything else.
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