Cucumbers, courgettes and squash are from the family Cucurbitacea. I save seed from them all in the same way. It is really very easy!
For cucumber, courgette and squash seed to be viable the female flowers need to be fertilised by one or more male flowers, ideally from a different plant. Usually this is done in nature by bees and other pollinators. You can tell the difference between male and female flowers easily. The females have tiny embryo fruits behind the flower. Sometimes I transfer pollen from male to female flowers using a fine paint brush. Be sure to identify any flowers you have hand-pollinated (a tie a ribbon around the stem) and leave them on the plant until late September or October to fully ripen. When cucumbers should look a little like these.
Courgettes a little like this (like a ripe marrow).
Take your ripe cucumbers and slice them lengthways in half.
You do the same thing with courgettes
Scoop out all the seed and thoroughly rinse clean in a colander under a cold running tap.
Courgette seeds are much bigger than cucumber seed and look like this
Then I spread the seeds out on a large sheet of grease-proof paper on the kitchen windowsill to dry. This can take a few days and the seeds need to be moved and turned. It is worth putting them in a muslin bag in an airtight jar filled with dry rice to remove as much moisture as possible (I use silica gel) and leave for at least a week. When completely dry keep somewhere cool in an airtight container.