You can save the output of the map rendering to a file by selecting the Save Map Image item in the File menu. The type of the file corresponds to the output format set in the Image Details tab of the Map Property Editor.
Some of the output formats (like pdf or GTiff) may not be rendered in the Map Window directly. In this case the map is drawn using the GD/png image format and the following message is displayed at the top of the Map Window.
However with the Save Map Image menuitem you can save the result in the proper format according to the actual output format determined by the map configuration.