The example sketches included with the Arduino IDE are 'read-only'. That is, you can upload them to an Arduino board, but if you change them, you cannot save them as the same file. 

We are going to change this sketch, so, the first thing you need to do is save your own copy that you can change however you like.

From the File menu on the Arduino IDE select the option 'Save As..' and then save the sketch with the name 'MyBlink'.

You have saved your copy of 'Blink' in your sketchbook. This means that if you ever want to find it again, you can just open it using the File → Sketchbook menu option.