http://technet.microsoft.com/en-us/library/ms190646.aspx

To save an execution plan by using SQL Server Management Studio options

Generate either an estimated execution plan or an actual execution plan by using Management Studio.

In the Execution plan tab of the results pane, right-click the graphical execution plan, and choose Save Execution Plan As.

As an alternative, you can also choose Save Execution Plan As on the File menu.

In the Save As dialog box, make sure that the Save as type is set to Execution Plan Files (*.sqlplan).

In the File name box provide a name, in the format <name>.sqlplan, and then click Save.