Weird...I never heard a problem like this.
Unfortunately, there is no other way
(there IS another one, but it involves looking for a prepatched ROM on google, which is not recommended because most are old versions), and I cant use a .nmp because the hack contains modified overlays which it does not support, and PPF o matic doesn't work for me.
Maybe its some problem in the settings. Like, the place you are trying is like 'Read only' or something like that.
Try what SKJmin said, when you click on the '...' button, type any name with the .nds extension at the end of the name. That way you dont have to search for a file and add the extension. Maybe your settings does not allows to create files with no extensions, so try the above method.