Assuming that you are running iMovie 10, it is accompanied by an iMovie library or it won't function. It must open in a library. The library is located in your Movies folder on your Mac (Go/Home/Movies). Your iMovie 10 project already is in your iMovie library in its un-exported form. It automatically gets saved there as you do your work. You may be running iMovie 9 that doesn't have a library but instead has a Projects Folder and an Events Folder. In that case you would export your project to your desktop or wherever you want to save your movie. I am not too familiar with iMovie 9, but you should be able to do a File/Save and close your project without losing any data, so you can reopen your project to do further work on it. Check the Help menu for instructions. Also, try saving and exporting a test project.
If you are running iMovie 10, try opening it while holding down the Option and Command keys and selecting to delete preferences in the box that appears. iMovie will open in a new library. Reopen your old library to get back to your projects. Now see if you can export (share out) your project.
-- Rich