Okay, now I get it. The file extension...the last three letters after the file name and the dot, is what Windows uses to identify what type of file it is so it will know what to use to open it. If you change the file extension, it does not change the actual format of the file but Windows will try to open it with whatever program the new file extension is association with. If, for example, you change a .txt file to .jpg, it'll still be a text file but Windows will try to open it with an image viewer...which it can't do so it'll give you that error message.
For reasons known only to Microsoft programmers, file extensions don't show by default. If the names you're trying to change don't show the name of the file followed by a dot and a 3-letter file extension, open My Computer, go to Tools>Folders Options>View tab and remove the check from "Hide file extensions of known file types," Click OK.
Now when you change the name of a file, you can see to change only the name and not the file extension, too.