Hi, the simple answer is you havent allowed windows the abbility to change file types in explorer. bellow is a step by stem animation but i will put in text as well for you (kind me).
PS: LimeWire when i made my skin i all ready knew you had to do this but some butting designers may not. please note that for your making skins section
Step 1: Open My Computer
Step 2: Goto Menu, Tools
Step 3: Goto the Folder Options
Step 4: Then Click "View" tab
Step 5: Untick "Hide extensions for known file types"
Step 6: Apply
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YOUR SET