Based on your screenshot it looks like you have "common file extensions" hidden. The file is showing up as
rbxblender.py instead of
rbxblender.py.txt. This is an annoying Windows default that doesn't contribute anything but confusion in cases like these. To enable all extensions, open View and enable "File name extensions"
After doing so, you'll be able to see the
.txt part and remove it. Enabling hidden items might be useful in the future as well -- it doesn't really change much since hidden files are for the most part under the user/Windows directories, but it will prevent a similar situation from happening where "Why can't I find this folder?" because it's hidden.
@Den_S Might want to note this in the OP