Make sure that if you are prompted that you save it with the "*.gdt" file extension. You should see the file name come up as something like "roxanne.mp3.gdt". If you don't, then make sure that you add that in. The important part there is that the "gdt" file extension is present. If not, you will end up overwriting the actual MP3. This is the default behavior on Windows.
If you are prompted to overwrite something, double check that it is correct first.
You can delete the ".mp3" part of the file name, but make sure that the ".gdt" part is there.
If you have troubles still, go into Windows Explorer and set your preferences to show file extensions for known types. That way you can see the complete file name. Hiding file extensions is a poor way to handle files as file extensions don't always mean what they look like. Showing them is a better way to identify files properly. e.g. A "txt" file can be data for a spreadsheet for programs like Excel, but will usually show up as a file for Notepad or a text editor. There are other situations where this happens as well.