I think I know what is going on. I'll bet that you have the option selected to hide file extentions in your folder. This means that it only shows the file name without the file extention ( for example .exe, or .txt)
When you rename the file, even if you add a .exe to the end it will keep the original file extention after the one you added, but it will still be hidden.
So what you have to do is turn off the option that hides the file extentions so that you can change the name properly. I am working with Windows 2000 right now, so your version of windows may or may not be the same:
Open the folder with your file.
Go to the 'Tools' dropdown menu and choose 'Folder Options'.
Go to the 'View' tab and uncheck the box 'Hide extention for known file types'.
Rename the file.
If your windows version is different, you may need to hunt around for this option a little, but it should be there somewhere.
Hope this helps!
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