Rosegarden stores each composition in its own document, using its own internal format. When you save a document it is stored on disc as a file with the .rg extension.[1] Rosegarden can also handle a number of other standard file formats.
When Rosegarden starts up, it does so with a new document, containing an "empty" composition ready to start editing. To put something in that composition, you must either record something, or create some blank lengths of music (referred to as "segments") that you can then fill in using the various editing facilities.
See Recording for details of how to record music, and see the Track Editor section for a description of how to create, edit, and manage segments of music.
[1] Many users have complained about our opaque binary file format. It is, in fact, nothing more than gzipped XML.