Ok I found out:
You have to put /show
a after the URL you’re working on:
http://jsfiddle.net/<your_fiddle_id>/show/
It is the site that shows the results.
And then when you save it as a file. It is all in one HTML-file.
For example:
http://jsfiddle.net/Ua8Cv/show/
for the site http://jsfiddle.net/Ua8Cv