When you are the Browse for destination step, type in a new file name for destination file rather than accepting the name of an existing file.
Typically, when saving out a file under windows (or any other OS), you use the browse function to navigate to a directory. Then enter a new file name. If you click on an existing file, you are telling the system that you want to replace that overwrite that file. That isn't what you want to do, you want to create a new file. Hence, typing in a new file name that doesn't already exist.