If you're going to start saving midi files, create a dedicated folder or two on your computer. When you save the target, a 'save as' box will appear with file and folder info. Make sure you have the correct folder identified. If you want to rename the midi file, this would be a good time to do that - if you accept that file's original name it may not be what you want to remember it as. The save box should also automatically save it as a midi file. Media Player is probably your default player for these file types, but you can change the association to something else, like VanBasco, RealPlayer, QuikTime or WinAmp, etc.