Orcad Newbie!
Story goes like this........
When you have finished with your schematic in Capture, do a DRC(Degisn Rule Check) to verify that there is no error, then create a Layout netlist. Now your netlist is ready. Now open Layout........
When you try to open new file it asks about technology template (*.tch I think) this is most confusing to newbies. I'm not going to discuss the details about this file. You can use, for example protel.tch it work well (It can be found in Layout directory, search for it, right now OrCAD is not installed on my machine, so I'm not that clear). It will now ask you the location of netlist file. And now you can save you (*.max) borad file. After this you will be asked to assign footprints to various components. Once you finish with it you can see your unrouted borad layout.
Hope this helps