Save Copy As allows you to save a copy of the current scene under a different file name. It does not change the name of the file being worked on.
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Application Menu > Save As > Save Copy As
Warning: Save Copy As does not update the original file name as Save does, and Save does not update the file you last saved using Saved Copy As. For example, if you make edits to a 3ds Max scene named filename.max, then use Save Copy As with the file name filename01.max, make additional edits, and then click Save, your second set of edits will be saved as filename.max but not as filename01.max.