The default view in Windows Explorer hides the extensions of all known file-types, in such cases changing file extensions becomes difficult. You can change the default setting though to display the file extensions for all file types by opening the Folder options in Windows Explorer and un-checking the option that says, Hide extensions for know file types.
However not everyone would not want to see the extensions for files, in such cases File Extension changer is a handy utility that will allow you to change any file extensions from the right click context menu of any given file or folder.
Once you click on the change extension option you will be show a dialog box where you can specify the new extension for the file, type in the new extension and click on change and exit. The changes should be applied to the file immediately.
File Extension changer is a free utility for Windows only.