Had a look at it in bigsize and the macro filter certainly seems to have a decent quality to it. I'm not 100% sure of the settings you used for this shot - save the ISO which was 400, if you could fill me in on the aperture and shutter speed you used (opera seems a bit confused) it would help.
Also I noticed that your overexposure problem might not just be the sun, but because you had exposure compensation set to 1/3 overexpose on the settings - not a good move to make in such bright lighting. I would also have lowered my ISO - the exif says flash was also used, so in that case you can easily lower your ISO down to 200 or even 100 without problems.
I would also recomend shooting in full manual mode with flash - you see the cameras built in meter does not meter for the flash, just on the lighting present on the shot at the time - so it will easily select as slower shutter speed (for example) when the flash means you can easily shoot faster.
For a refrence I typically shoot with f13, ISO 200, 1/200sec when using flash.
As a final point your focus does appear off - you've hit hte back of the bug and missed the all important eyes - though I can't tell if you used AF or manual focusing for this bit.
Its a good shot for a first macro shot and a tricky subject (often as not) as well so well done