Well, I'm a .NET developer and I use Visual Studio in my everyday work. I'm not going to compare it with the other IDEs mentioned in this thread, since I don't have any working knowledge about them.

However, after creating the project, you could have used the "Save All..." command save the project, and after that, a periodic Ctrl+S or Ctrl+Shift+S should have solved your problem.
Or, alternatively the "Build solution" or "Start debugging" commands also save everything before they start compiling your project.

I'm very sorry that your first encounter with .NET ended like this, it isn't a bad environment, after all.