I just installed 6.40.4. I noticed "Project Manager" instead of "Add Script" in WED. I created a new level and saved it. I went to attach a main template script to the project using Map Properties and my "New Script" button was grayed out! I clicked on "Project Manager" to see if I could add a main script, and it told me that there was no Main Script!! Catch 22!

Any ideas how I go about creating a main script? Previously, I would click File... Map Properties... and then click the new script button.

under what file name did you save it?
(myfilename.wmp)

I saved it under test.wmp, so I was then going to try and generate "Test.wdl"

Well thats pretty weird, I just fired up WED put a small cube in there, saved it as test.wmp and went to Map Properties -> Add script, and a dialog came up what kind of template or script I'd like to add.
So you are sure that not the BUTTON is greyed?
Caus the field where the script name appears is grayed but not the button.
maybe closing wed -> (restarting optional) -> opening wed -> opening the level -> saving under different name -> trying again could help
I know this is no real solution but it might help you out.