Well the problem is caused by the idiots who decided that the default
settings for WINDOWS is to 'Hide Extension for Known File Types'. This is a
basic security risk and I recommend that you change this immediately.
Open Windows Explorer, go to Tools, Folder Options and select the View tab.
Scroll down until you find Hide extensions for know file types and clear the
check box; click APPLY at the bottom of that dialog and close it.
Note that in someone's wisdom, the Menu Bar is hidden by default in Windows
Explorer (in Vista and Windows 7). Press the ALT key to unhide and use it.
You can make it permanent if you open the ORGANIZE menu, select LAYOUT and
click Menu Bar.