Collective/app from Mac to windoxs

Hi,
i'd like to save my patch on my mac as an Application for windows XP,
and I've been reading the documentation about it.
the documentation says that I just need to build my patch and save
it as App *exe in the save as dialog.
In my max version,though, it appears only "save as Application", with
no distinguish between .app or *.exe.

Any suggestions?

thanx