Quick tip — while most people know how to do this, enabling file extensions for known file types is suggested, as Windows XP and up (stupidly) decide to hide file extensions for known file types by default.
Open a Windows Explorer window (Start → My Documents works well) and click Tools then Folder Options…
Click the View tab at the top. Scroll down in the Advanced Settings list until you find Hide extensions for known file types. Make sure it is unchecked, then click OK.