The file extension is how windows knows what to do with it. The file extension is what's associated with a program. For instance, if it's 'file.jpg', your picture-viewing program opens it. If it's 'file.wav', your sound-playing program opens it. If there's no extension, I could tell you how to add one, but it's easier if you just let your Mac-using friends know you need an extension. Macs don't need them.