I just had the same error message and fixed it by deleting the .asc from the end of the downloaded signature filename - so it was just "electrum-3.3.8-setup.exe".
That wouldn't work... as you couldn't have 2 files named the same thing in the same folder... No operating system would allow that.The reason it looks like there is no ".asc" in the filename in the screenshot in that tutorial is because Windows, by default, hides the last file extension (ie. the last ".xxx" characters) in a filename.
It's a stupid default behaviour and causes a lot of confusion.Note how the file "type" is: "OpenPGP Text File"
The two files in that directory are actually named:
electrum-3.3.2-setup.exe
electrum-3.3.2-setup.exe.asc
But are displayed as:
electrum-3.3.2-setup
electrum-3.3.2-setup.exe
This is because Windows is "hiding" the .exe and the .asc file extensions
It's very confusing right? 
You can read how to disable this, so that Windows will show the full filenames here (has instructions for WinXP/7/8/10): https://www.bleepingcomputer.com/tutorials/how-to-show-file-extensions-in-windows/