>>The book is incorrect. When you follow steps you outlined below, you get a T-SQL template to create a sproc. Keith explained in other thread how to replace template placeholders with values you want. After you do that, you'll have T-SQL script to create the sproc. The sproc itself is a part of the script. You can save script (SAVE) for future modifications. EXECUTE script to add sproc to the database.
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>I still don't get it. First, I still can't see how to get the "Stored Procedure ... New" window. Secondly, even after I EXECUTE the sproc I see nothing in my Stored Procedures tree. Do I need to specify the name of the database in the stored procedure for that? (which I don't do).

You're excuting script to create sproc in the current database. Did you refresh sproc list in the object explorer?