How do you get the installer package?

[firstbat]

When I go to create an air installer package, all I get is a single air file. ??

[firstbat]

I dont understand why i dont get the Air Installer package. I followed the lynda.com video tutorial exactly as it shows, created the certificate and everything. Yet when I export the build, all I get is a single air file and when I double click it windows wants me to choose a program to open the file. But in the video it shows a brown package icon. And when the instructor double clicks it, it acts just like a native application asking what directory to install it to, etc. Whats goin on here?