You shouldn't have to open the file you are currently working on; if you shut down PAF while the file is left open, it will open automatically the next time you start PAF. Your data gets saved constantly as you edit the data.
Backup and Restore are used for creating a backup of your database and restoring a database from a backup. I backup my data every 10th time I exit the program, or if I am going to make any major change such as Match/Merge, Global Search and Replace, or a mass delete of an entire family or family line. Backups are saved using Zip compression. Under normal circumstances, you would only Restore a backup if your database has been damaged.
I am not sure why a file stored in MyDocuments would be read-only. This happens of course, to any file stored on most CDs, but MyDocuments is on the hard disk. Right-click on the file's icon and select Properties and remove the Read-only attribute if it has been set, and click OK.
There are training documents in the Help folder that will make you a "pro" in very little time.