I discovered that if you change the extension of any file to .lnk, that is make it like a shortcut file, then you can't change the extension again, even if you have set 'show the file extension names' in folder options. Could malware could easily do this for all files and make the system useless? You can access/use the file through the app which it is meant to be opened though.
You can change the name back from the command line or similar - it's just not exposed in the GUI.
This is an example of being on the other side of an airtight hatchway - "It's not really a vulnerability that you can do anything you want once you pwn the machine." - your attacker is inside, they've already successfully compromised your system!
The essense of avoiding this scenario is to just not let the attackers in to begin with. Keep your AV up to date, keep your firewall on, keep your passwords current and complex.
Put another way; sure, .lnk is treated specially, but if they can rename files, why not rename explorer.exe to explore.notexe? You can do that to every exe on the system if you wanted to make the system useless.
It's very likely that since they can already rename files, they can just write out a new one, put it in your startup group and run whatever they want, download whatever malware they like and do a whole lot more damage than just messing with your filenames.