The .stx is the file extension for Pinnacle software. All of the files you build in Pinnacle Studio will be saved in a .stx file. It is like Microsoft Word saves files with a .doc extension.
Once you have completed building your video, click on the tab at the top called "Create". This is where you will select the type of video file you want(AVI), the resolution or quality of the video you want. Once you select these click "create video". It will then build the final product you are looking for.
Good luck!