Your last screenshot with the filenames hints to me that you have filename extensions hidden. I would guess that you've actually got something like this on your drive:
Screenshot2.jpg
The Caves.cw2.txt
You can either turn off the hiding of filename extension in explorer, or when you save the file, try putting the name in double-quotes in the save box -- I think that forces Windows to not add an extension: "The Caves.cw2"