You're not doing anything wrong! For security reasons, the
Terminal does not show your password as you type it. Just
hit return when you have typed it in and you will be good to go.

That worked fine. Now when I try to save the file after I
edit it I get this error:

You do not have the permissions necessary to save the file. Please check
that you typed the location correctly and try again.

How do I get the necessary permissions? I am the only user on my home
PC.

you need to call the editor with root permission. "sudo gedit
text.file" in the terminal you will be prompted for your password.

assuming gnome you can install nautilus-gksu from the repositories whch
will give you "open as administrator" as a right click option. lets
you bypass the terminal for some things but still need to enter
password.

You may be the only user but that doesn't cut any ice with Linux! You have
to be root (or equivalent) to do anything that changes the operating system.
In a terminal type sudo bash, then your password when prompted. Edit the
file by starting the editor from that prompt so it will save with root
priviledges. If that doesn't allow you to save it there must be another
problem with the file permissions.

What do you mean nothing happens, did you cd to /grub/boot and ls to see if
the file was created ? Linux often just does what you ask it to without the
fanfare you might be used to in windows. I suspect it has done exactly as you
asked and has created the file for you :)

I am sure someone has already told you this but nothing shows as
you type the password. You just type your password and hit the ENTER
key and you will have root privileges.

The command you typed or copied in this case gives you a copy of the
menu.lst file called menu.list_backup This is only part of the job,
you will now cd /boot/grub/ Then you will open the menu.lst with
gedit by typing sudo gedit menu.lst

once again you will be asked for your password then the gedit editor
will open with the file you need to modify. A full set of instructions
have been commented out all you have to do is follow them and your
boot order will be changed.

Just hit enter after you type in your password. You will not see the
password you typed in