One thing I noticed when you open either say texture browser, static mesh browser or other, there are TWO ways to access files. One is to hit File.... and look for the package. Thats the wrong way.
There is a white pull down menu just above where the texture browser shows images. You should be able to use that pull down menu and scroll down to mylevel.
One thing about textures - I learned this about a decade ago when I mapped in UT2004, Your images need to be square, and consists of multiples of say 32 or 64.... any combo there of. Like 64x64, 32x64, 128x128, 256x256, 512x128, 512x512...So any combo like that is cool. If the image is not sized right, it should throw an pop up error and not save it to "mylevel".
One other thing, the game can do auto saves, and if you are missing something critical, or make a hiccup and have not saved, I would quickly go into the file and open mode, and look for one of the auto#.rom files for the most current time/date of when you think a good file is, open that, and then save it as another name. Also, it doesn't hurt to copy out a working copy of the map and place it in a safe place just in case something goes amok.