Tidal,

In windows world, almost every file has an extension which is the . and the last 3 letters. That extension is then associated with a particular program that is installed on your machine. If you double click on a file or try to run a file, that OS checks to see if there is a program associated with the extension of the file you just clicked. If there is, it runs the program that corresponds to the extension. On the other hand, if there is no program associated with the files extension, windows will ask what you would like to do with that file.

As for learning about the extensions and what they are for, that really just comes with experience and poking around.