If your document is new and it was never saved so far, then with either of the three options, Word will display a dialogue box to let you select a folder, and enter the document name as explained in case of saving new document
Microsoft Word 2010 disabled the functionality of the Insert key and it does nothing, so you will have to follow-up with the above mentioned procedure to turn-on or turn-off the Insert mode
The black shaded area in the screen shot is called the selection bar. When you bring your cursor in this area, it turns into a rightward-pointing arrow