If your using windows then chances are the file extensions are hidden and you can either do it from a command prompt using the ren (rename) command to rename the file with the correct extension.
An easier way though is to go into the control panel, folder options, view tab and uncheck the tick box "hide extensions for known file types" then apply it and go back to your file, you will notice that it now shows the extension. Then you can simply right click and select rename on the file and it allows you to type in a new file extension.
This however only changes the extension, which is what you asked for, but in reality what you probably want to do is change the file content as well in which case a converter or open in photoshop and re save as different file type
It is sometimes acceptable to change the filetype, may programs will ignore the filetype and look directly at the content as they know that file extensions are not always accurate, also some file extensions are interchangeable sometimes. However I suspect that you actually looking to convert a file and not simply masquerade it as something else.