You need to create an in game profile in addition to your gamertag profile. When you do this it will ask you to select a storage device i.e. hardrive or memory unit depending on what it indentifies as available. Once you have done this you will be able to play through the training level and the campaign there after which will save at the appropriate points into the created profile.
I hope that helps but if your still unsure or any of the above is unclear just hollar