Because it automatically creates the other file when TF2 recognizes it.
Also Bod, according to that screen you posted you have VGUI > Eat me instead of VGUI > logos.
This is how I did it with custom sprays, it helped a friend of mine.
1) Download
http://nemesis.thewavelength.net/index.php?c=178#p178 VTF Edit.
2) Open it, file > import your image. Just click ok,
3) then Save As something.vtf, in your tf2 folder with tf > materials > VGUI > logos, no other maps please.
4) Open TF2 and go to multiplayer, import spray, import the VTF. VMT will get created automatically from the texture file. Assign a key and spray for joy.
I just followed this tutorial, my friend just followed this tutorial, and we both got a custom spray in game.