It is supposed to be a file named "gnutella.net", not "gnutella.net.txt"
So just remove the ".txt" from the end after downloading it. (right-click, rename)

Oh, and if you're using windows with those "hide file extension" options on, go and turn them off from the folder options.

(I hate windows for those lame newbie-protection systems that are on by default, and some of them cannot be turned off)