?? Do have "Show known file extensions" ticked in windows options/settings?
Can you see any file extensions?
EDIT: Seeing as this is your first conversion make sure you burn it to a DVD-RW first! That way you wont waste DVD's if you make a mistake or forget to add something to the DVD.
Remember, the game wont play from the DVD!! You will need a NoCD/DVD crack to actually play!
