Janine, A GEDCOM file is in text format. That is why the default format option you are offered is "txt". You should be able to name it as something.ged (where "something" is whatever name you want to give the file) and leave the file type as txt.
If the file name ends up as something.txt then you can rename it to change the "txt" to "ged". That way, it will be recognized as a GEDCOM file when you try to import it someplace else.
If you need more detailed instruction about naming, saving, or changing file names then please post back here and specify whether you are using Windows or Apple (if it's Apple then someone else will have to take over - I only know about Windows).