Database backup file (How to Restore)

Probably, when you saved it yoU overrode thE extension and didn't give it any - so it is saved as

Filename

rather than

Filename.ext
Filename.bak
Filename.sql

Or similar.
Look at the file in Windows Explorer and open the "Organise" drop down.
Select "Folder and Search Options" and then the "View" tab.
Untick the "Hide extensions for known file types" check box and click "OK".
All the files will how show the full filename including any extension.
I think you will find you didn't give it any. Rename the file, and reverse the above when teh extension is set.