The newer Windows are very bad about that. To make things more "user friendly," they make it to where you can't see the extensions of files in normal use.
Try this. See if you can get to it in the command prompt. I'm not sure if you know how to get around in the command prompt, but I will give you detailed instructions anyway.
1. Click "Start" and go to "Run."
2. In the Run dialog box, type in "cmd"
3. It should, by default, begin in "C:\Documents and Settings\[your user name]"
3.5. If not, type in cd\ This will bring you to the base. From there, type in cd\Documents and Settings\[your user name]
4. I'm going to assume that you get the idea of how to get to different folders. So, let's say that your music is in a folder called My Music that is inside of My Documents. From the place in 3, you would type cd\My Documents\My Music. I suggest at this point that you make a new folder and place the file in question there. It will make this process easier. Then, navigate to that folder.
5. When you have gotten there, type in dir, or you can type in dir/w/p. These will show what files are in that folder, along with their extensions.
At least, at this point, you can find out what extension it is.
From here, you can try renaming it to the standard conventions, ie. .mp3, .wav, .m4p, etc. If you need a list of ones to try, you can probably find a list looking it up on Google. To rename the file use this:
rename
Remember that the extension is what you are really interested in changing, and it always as a period before, as in song.wav
Hope this helps, or at least sheds a little light on the problem!