As Paul already said, new templates must be .dotx or .dotm files. By default in Word 2010 they will be stored in the same folder as your documents. This is bad, but you'll have to move them. I would suggest either your User Templates folder, your Workgroup Templates folder, or a sub folder. The User Templates folder is always the location of the normal template.

Prior to Word 2007, templates were stored by default in the user templates folder. Beginning with Word 2013 you can designate a default folder for these. With Word 2007 and 2010, you have to either deliberately save them in a templates folder or move them after you save them for them to be best used.