Bot190, since am new to GameStudio, I was expecting the menu option to appear with an empty workspace. Now I have experimented that and of course you need a script and a project to work. But since it is not intuitive even for someone with experience in other IDEs, I suggest to Doug to add a little note to his post on this matter, indicating that the option will appear only if you have an open project.
After all, knowledge is for people that need it! When you already know something, a question like this seems kind of obvious.