No problem with Windows 7 (64 bit). This is what I did...
• Start Arduino IDE
• Navigate to the tone tutorial using my favourite web browser
• Click the first [Get Code] link...
• Press Ctrl + A to select the text
• Press Ctrl + C to copy the text
• Switch to the Arduino IDE
• Press Ctrl + V to paste
• Click the down-pointing arrow on the right side to display the Tab Menu
• Click New Tab
• Enter pitches.h and click OK
• Switch to the web browser
• Go back to the tutorial
• Click the second [Get Code] link...
• Press Ctrl + A to select the text
• Press Ctrl + C to copy the text
• Switch to the Arduino IDE
• Press Ctrl + V to paste
• Press Ctrl + R to verify