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As SteveS said in the comments, Windows doesn't care what file name you use - it's just a label. The "file extension" is only used as an indicator for how a user can interact with the file. Many applications also use it as a way to indicate that the file is of a particular type, but ultimately it's nothing more than a naming convention and shouldn't be ...

how can an executable delete itself while is running? Windows uses memory mapping to load executables into memory so unfortunately the executable file (unlike in Unix based OSes) cannot just be removed. Unix is slightly different (since there's some debate on this on the other answer) - however, it still uses mmap() to load executables (you can verify ...