Windows hides file extensions by default. To make them visible, open any folder, then go to Tools > Folder Options > View and uncheck "Hide extensions for known filetypes".
Here are some common extensions:
Documents (safe): .txt Text document .rtf Rich text document .doc Microsoft Word documnt Images (safe): .jpg Image - JPEG .jpeg Image - JPEG .gif Image - GIF .png Image - PNG Video (safe): .avi Video - Various formats .mov Video - QuickTime .mpg Video - MPEG .mpeg Video - MPEG .rm Video - Real Player Audio (safe): .mp3 Audio - MP3 .ogg Audio - Ogg Vorbis Programs (unsafe) .exe Windows executable - Application .scr Windows executable - Screen Saver .com DOS executable .bat DOS batch file Other unsafe types: .js JavaScript .vbs VBScript .html HTML document. (Safe to view over the web, but not safe after saving or downloading.) .lnk Windows shortcut. .pif Windows 3.1 shortcut (?) Archives (contain other files, which may be safe or unsafe) .zip Zip archive .rar Rar archive
If you choose to rely on file extensions rather than the "Type" column in Windows Explorer, you should know that the ".lnk" extension can be hidden even if you told Windows to always show extensions. Instead, the icon contains an arrow. Also, you should watch out for filenames with lots of spaces before the extension, like this one:
foo.mp3 .exe