Issue with creating a data set that can be loaded using load datasetname command in Matlab

[wannalearn]

I am a student doing machine learning course and I am not very sure whether basic questions as these are expected here but giving it a try as I am desperate. 

I am trying to create a data set with multi class data and labels in matlab. I am able to load data from a file and get it classified as multiple variables. I saved the code as 'multiclass.m'. Then when I use the load command,

load multiclass

I get the error

??? Error using ==> load Unable to read file multiclass: No such file or directory.

What am I doing wrong here? How can I load the data set from a different file?

I am struggling with this for some days. Any help will be very valuable.