Hi Yuriy,
This is a Windows-specific problem that was already fixed in PI 1.5.6. You have two options:
1- Disable the "hide extensions for known file types" option in Windows Explorer. Then you'll have no problems with Windows native file dialogs; all file extensions will always be selected correctly. Unfortunately, the (useless, dangerous) "hide extensions" option is enabled by default on Windows.
2- Use multiplatform file dialogs, which work flawlessly on all platforms. To enable them, select Edit > Global Preferences > File I/O Settings and disable the "Use native file dialogs" option.
If you prefer Windows native dialogs (they are slightly more handy to find network folders), then option 1 is highly recommended (not only to work with PixInsight). To disable the hide extensions option, open a Windows Explorer window and click the "Organize" button (or select Tools > Folder Options if you have the explorer menu enabled), then select the "Show" tab (the second tab), look for the infamous "hide extensions" option, and disable it.
Note that when you don't follow (1), i.e. when you have the "hide extensions" option in its default enabled state, you --or Windows-- can select a file format that doesn't match the selected (or current) file extension. This is because Windows hides extensions both to the user and to applications. In this case PixInsight has no way to know if it was you who specified a nonstandard file extension, or if it was Windows. Take into account that native Windows dialogs are part of the operating system and PixInsight has no way to know what happens in them until you select a file name or cancel the dialog. When the reported file extension and file type don't match, PixInsight opens a dialog box to ask you for confirmation, or to replace your (or Windows') file extension with a standard one. In PixInsight 1.5.8, this dialog box has an "Always use standard file extensions" check box that allows you to fix these situations automatically.
However, of course the best option is (1) above. There is no reason, to my knowledge and understanding, to hide file extensions. IMO, it is absurd to hide such critical information about files, and it does not help novice Windows users but gives them the false impression that files have names that they actually don't.