not all files show their extension, if there is a program on your computer that opens it, the extension will be hidden, go and set it to NOT hide extensions for known file types to reveal it
to check the file type, right click and hit properties, it will say .wmv/.hex and whutnot
I have Windows 7, so on a List View, it shows if there is an extension (like .hex file), but if it has none, then it just says "File"