You can also drop a file anywhere on the window. For scores that are free and clear, try the Mutopia Project or IMSLP — both public domain. Fetching by link only works if the host allows cross-origin requests; most don't, so downloading and choosing the file is more reliable.

Saving adds it to your song list and opens it in Practice, so you can play it back straight away. You can export it to MIDI or MusicXML from Settings at any time.