Just click CTRL+P button on your keyboard and try saving your dashboard as PDF.
I'm actually working on a Mac and have the Mac Tableau desktop version. I've tried the traditional Command+P action, but nothing happens. There's no print option in the FIle dropdown either. I would simply generate a PDF from the Tableau Public Online area, but every time I save from my desktop application, it does not keep the correct size/layout of my map. Any thoughts?