Are you sure it isnt just part of the filename, have you got the extensions set to view. Do this in explorer from tools > folder options > view tab > untick hide extensions of known file types. Is the file still the same?
or the person could have changed it to that just to email it to you as some email services will block the sending of .exe or others like .dll so if you recieved it as email ask the person who sent it you what to change it back to
me and my friend have a system where we change the extension to .bob, so if it is a .bob file i know to change it to .exe