Each browser and operating system handles saving to PDF differently:

If you're using the Google Chrome browser, then you can save to a PDF directly from the print dialog. Under Destination, click Change... and then select Save as PDF:

Mac OS X's print dialog lets you print to PDF from any browser. In the print dialog box, select PDF on the bottom left and then select Save as PDF...:

For browsers other than Google Chrome on Windows, you can use software like CutePDF to save to PDF from any print dialog. On Windows 10, you can specify that you want to save as PDF in the Print window.