I think Windows 2000 hides file extensions by default. Not only does this "feature" help email viruses from spreading, it's pointless and makes it difficult for users who want to change a file's extension. If you use Windows 2000, you can stop it from hiding your file extensions by following these steps:

1. Double-click on "My Computer" on the desktop.
2. From the Tools menu of the "My Computer" Explorer window, select "Folder Options..."
3. Go to the "View" tab.
4. In the "advanced settings" section, the 7th item in the list says "Hide file extensions for known file types." Un-check this.
5. Navigate to the file you wanted to rename, and proceed with changing its file extension. You will get a warning, but it's OK!

There's probably a similar preference for Win98 and WinXP, so checking out folder options for those OSes isn't a bad idea either.

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update: fixed formatting