I did that. But where is the netlist file saved. I don't see it in the project folder.
Don't you have to create a board file and add it as input to generate netlist like this video - http://www.referencedesigner.com/tutorials/hdl/hdl_08.php
Do you mean netlist for updating on board?
File --> Export -->Physical will do the packaging - which generates all files including netlist required for Layout.
Tools-->Options will have options for all. It doesn't actually generate netlist