Bruce,
You should "right click" rather than double click.
You could also open the file by first running Notepad then looking for the GEDCOM in the folder you saved it in. You will probably need to change the file type from .txt to "All Files" to see the GEDCOM file.
In Windows FTM sets the double click of a GEDCOM to automatically open FTM. This can normally be bypassed with a "right click".