change your directory to Desktop and try running savefig cmd again.
In linux it works(as you've seen in spoken-tutorial) in windows you might have to specify the complete path.
In : savefig('C:/Users/administrator/Desktop/sine.png')
In : savefig('C:/Users/administrator/Desktop/sine.eps')
In : savefig('C:/Users/administrator/Desktop/sine.pdf')
In : savefig('C:/Users/administrator/Desktop/sine.ps')
In : savefig('C:/Users/administrator/Desktop/sine.svg')