I think you completely misunderstood the tutorial.
If attempting to save / build your tile, you first must go into the tile properties and select: Is Square Tile Object, and: Display Terrain Under Tile
Afterwards, go to: File>Save and save your terrain. Then go to: File>Build, and if there are no errors, you're free to continue. Now, go to: C:\Program Files\HTC\ah2editor\newshps\
Look for a .shp object with your tile's saved name on it. Move that file into your terrain's "texsrc" folder (You have to make one by default if you haven't already). It should be located here: C:\Program Files\HTC\ah2editor\ahiiterr\myterrname\texsrc\
Once you moved it there open up the Terrain Editor. Load your terrain (Even if it's already open, load it again to solve a bug to where no custom objects will appear on the objects list.) Then go into the Objects tab, locate your custom tile on the objects list (will be named after the name you saved your tile as.), and add it to your terrain.
Happy editing:aok