The menu for importing a Web Connect File should have the .QFX suffix on it.

In the File -> File Import menu you have:
Web Connect File...
Quicken Transfer Format(.QXF) File...

When a new person is looking to import their Web Connect file they mostly look at the suffix .QFX and are looking for a menu with that on it.  And .QXF is just so close, they see it as what they should use.
This comes up quite a bit like here:

I think the confusion can be all but eliminated if you just make the Web Connect menu:
Web Connect(.QFX) File...

First off it is the first one on the list of items and so they are more likely to select it, but just the fact that both menu items have their suffixes on them will force them to look at it closer.  And if by chance they try the wrong one like this person did then not seeing the file when they browse might send off alarms.


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