First, make sure you aren't being stabbed with extension and file hiding.
In Windows Explorer, View (98) or Tools (XP) menu has Folder options. In Folder Options, open the View tab, and scroll to the radio buttons and check boxes labelled 'Hide system files', 'Hide registered extensions', and 'Hide system folders'. You want the radio button checked that says 'Show all files' and the checkboxes that say 'Hide extensions' and 'Hide system folders' UNchecked, regardless of Billy Gates's 'recommendations'. Then apply your settings, and hit the button that says 'Apply settings to all Explorer windows' before closing the menu dialogue. Close and restart Windows Explorer to initialise the new settings.
You should now see an extension on that file, if it has one.
If it actually has no extension, you can try opening it with NotePad or another text edittor to avoid accidentally running something undesirable.
If you don't have an up-to-date virus killer, get one. Grisoft AVG Free Edition is good. Scan the file before opening it.
