To avoid confusion, first off I save the dba with the filename I want, i.e.:
MyGame.dba
I originally save the dbpro file using SAVE PROJECT AS with the same main name, but add 'proj' afterwards, like this:
MyGame proj.dbpro
To change the .exe filename itself in the default editor, go to TOOLS, OPTIONS, and click on the filename and change it to what you want, being sure to have .exe on the end. You have to change it for each different game you make.
This way, I always click on the .dbpro file to load a game. After I do these things to set it all up initially, all I have to do in the future when working on the game is click on SAVE ALL and it takes care of it.
This is how I do it and I do not have any issues with it at all. It is merely a suggestion to show you how you can avoid confusion.