Am I the only one pissed off that Windows hides file extensions by default?
ok, control panel -> folder options -> view -> uncheck "Hide Extentions for known file types"
tada

Then just be on the lookout for:
thishasareallylongfilenamebecauseitsavirustrojanorwhatever.jpg.exe
of course the filename would be more, shall we say, "explicit" then that.