When I right-click I don't have the "export loops and save them as wav files" option

I'm not sure I understand.  What are you trying to accomplish?

So basicly, I want to save some parts of a specific song in my list of samples. 

In your manual p.86 they say that when you create your loop/cue points you should then:

*Right click on the enlarged waveform on the player while the track is playing and select "export loop as Wav" but when I do that nothing happens. 

All I need is a way to save some part of my songs and to use them as samples.

Thank you 

That section is about saving Hot Loops in memory slots, not  exporting them to the sampler.

Then how to save a few part of a specific song in the samler?
I've put my work in standby until I get a solution. Please help me. Thank you.

Please refer to page 191 in the manual for sampler operation.