I am also having the same issue as the OP. I don’t know why it does that; however, here’s a dirty work-around that I figured out…
Just save it as you normally would, and when it saves it as a .wdp file, go to the location where you saved it and rename the file extension to whatever file exension you used. In your case, you would change myvideofile.wdp to myvideofile.avi. In my case, I tried rendering just the audio track to a WAV extension so that I could edit the sound in Audacity but of course it saved it as myaudiofile.wdp. So I simply changed the file extension to myaudiofile.wav and VOILA!! It works! 🙂
I wish there is a better solution but until then, this is what works for me. It’s an extra task but, hey, it works! 🙂 I hope this helps you or anyone else having the same problem. Of course, if any of you knows why this is happening or knows how to fix it permanently, please shed some light on the subject. Thanks!!