in addition to what steve said, jolly, filter forge can produce two different types of filter. one type is a 'texture' filter. the texture filter produces a complete image which needs nothing else with it and in fact, even if you import an image you wont see the import because the texture is completely opaque.
the other type is an effect filter. this type applies an effect to an imported image. but, like steve said, the image is not saved with the filter. the simplest reason for this is that FF's library is public and folks might very well submit their filters to the library and put copyrighted imported images along with the filter into the library and that would open FF, inc. up to lawsuits. nobody wants that. so, you cant save an image with the filter.
but, that doesnt mean you cant save a rendering of the image and the effect applied together. if you look down in the bottom, right corner of filter forge, you shld see a button that says something like 'save image'. by clicking on that, you can save whatever is showing in the main preview window of the main filter forge display. it can save it in a variety of image formats, including .jpg, .png, .tif and others.
so, yes, you cannot save the image with the filter, but you can save your work

If wishes were horses... there'd be a whole lot of horse crap to clean up!
Craig