seriously, this is Wings3D not 3dsmax (or similar). You are applying Extrude to a edge selection - it works different of what you want. You need to select the faces "inside" the "edge loop" you are using and then you can apply the Extrude (in face mode this time).
By having these regions delimited by the selected edges you can easily select the "inner" faces by using [SHIFT]+[L] (Edge Loop to Region).
By having these regions delimited by the selected edges you can easily select the "inner" faces by using [SHIFT]+[L] (Edge Loop to Region).