OK, I’m not sure exactly what you are doing, but I’ll bet the reason for your confusion is due to the really annoying Microsoft practice of hiding the file extension 
Down to basics, and apologies if I am rambling on about stuff that you already know, but it is important to be clear about this.
There are many different “types” of computer file, and they are usually not interchangeable. A “MS Word” file is one type of file and is a completely different type of file from say a “WAV” file. Similarly a “WAV” file and an “MP3” file are both audio files, but they are different types of file. If an audio player tried to play an MP3 file in the same way that it plays a WAV file, the result would be that the file would play super-fast as a burst of terrible noise.
In order to help computers and people to identify what type of file a particular file is, a naming convention is used. Files are usually named in two parts. The first part is just a “name” (nothing much special about that), and then there is a dot (“.”) followed by a few more characters. This second part is called the “file extension” and there IS something special about this. Most programs on Windows rely on the file extension to identify the type of file, thus you can totally confuse a program by giving the file the wrong file extension. Microsoft, in their infinite wisdom, decided to “help” users by hiding the file extension from most types of file.
Some standard file extensions:
The name of MP3 files should end in “.mp3” (without quotes).
The name of standard “WAV” files should end in “.wav”
The name of “Windows Media Audio” files should end in “.wma”
The name of an Audacity Project file must end in “.aup”
By default, Windows will hide these file extensions, which can make it very confusing for users to know whether the correct file extension is present or not.
Fortunately you can force Windows to show the file extensions:
- Click the Start menu. …
- Type “folder options” (without the quotes). …
- A dialog box with the title “Folder Options” will appear. …
- Click to uncheck the box for “Hide extensions for known file types”.
- Click the “OK” button at the bottom of the dialog box.
Things to be careful about
When you Export an audio file from Audacity, if you enter a name without a file extension, then Audacity will automatically add the correct file extension for you. However, if you enter a name with the wrong file extension, then Audacity will warn you that it is a non-standard file extension, but will allow you to do it if you insist.
If you export a WAV file and you enter the name as “myfile.mp3” (the wrong file extension for a WAV file), then Audacity will warn you, but will allow you to go ahead if you override the warning. Similarly, if you enter then name “Dr.Who” then Audacity sees the “.Who” and assumes that you want that to be the file extension. “.who” is not a standard file extension, so Audacity will warn you.
Windows selects the icon for a file based on the file extension and not based on the actual file type. Thus if you name a file with the wrong file extension, Windows will make it look like that wrong file type. Clearly that can cause all sorts of weird problems.
Avoid using dots in file names. If you must use one or more dots in a file name, ensure that you add the correct file extension.
Example: If you want to export an MP3 file with the name “Dr.Who”, do NOT just enter “Dr.Who” (Audacity will think that you want the file extension to be “.who”). Either enter “Dr.Who.mp3” (the correct file extension for an MP3 file), or, better in my opinion, enter something like “Dr-Who” or “DrWho” or “Dr_Who” or “Dr-Who.mp3” or “Dr_Who.mp3” (avoid using a dot in the file name unless you are including the file extension.
The other thing to be very clear about is that “Audacity Projects” are NOT audio files.
There are two parts to an Audacity project - there is the “project file” (which has the file extension “.aup”) and there is an associated “_data” folder.
Thus, if you save a project as “myproject”, then the project file will be “myproject.aup” and the data file will be “myproject_data”. The _data folder contains the audio data and the project file tells Audacity what to do with the data. Both parts (the file and the folder) are vital, they must stay together and you must not rename them manually.
More about Audacity project in the manual: Audacity Manual
To create and “audio file”, you must use “File menu > Export Audio” and NOT “File menu > Save”.
“Save” for projects.
“Export Audio” for audio files.
