Which GameStudio Edition and Version are you using?
(Wed -> Help -> About WED..)

Do not save it as "default.wmp" caus this will lead into troubles.
1.open wed, open a new level
2. add a simple block
3. save it somewhere with a proper name
4. hit the build button .. wait while the build process is running
5. save again (just for the fun of it)
6. hit the "Run" Button and it should do it