There is no internal PDF functionality. Instead, you must send the print output to a so called PDF writer, which acts like a printer but it creates PDF files.
The best such program, which happens to be free thanks to Open source, is called PDF Creator. You can download it here:
Once it is installed, you normally restart the computer. After the restart, whenever you print, both from Magic Contest and other programs, you can select PDF Creator instead of your normal printer, and that way create a PDF file.