The entire plugin chain, including all plugin parameters and their automations, can be saved in a single document, called a project. To save your work as a project, use File/Save or File/Save As. To open an existing project, use File/Open. To start a new project, use File/New.
A project doesn't actually contain plugins; instead it contains links to plugins. Consequently, if plugins are moved or renamed, broken links can occur; see missing files. The project also includes a link to the input video if applicable. In general all settings are stored in the project, except for those found in the options dialog, which are stored in the registry.