You must have your extensions hidden. If you can't see your extension on the file, open any window, go to Tools, Folder Options, View tab, and uncheck hide extension for known file types. Now your music file will show as music.mp3 or music.wma, for example.

If you don't want to do this, download dbPowerAmp music converter and install it. It will pop up a box when you hover over a music file which tells you the file type along with many other things about the file.

Wnen you download files from paid services, they are all in WMA DRM (digital rights protected format), except from Apple's Itunes store which uses a protected version of AAC. None are in the mp3 format, because mp3 doesn't support rights management. And not all downloads are the same. Yahoo's I think are at 192K, Napsters are 128K. I think MusicMatch is 160K. I think Rhapsody is also 128K but it might be 160K. The higher the number, to a point, the better sounding the file.

If you are downloading peer to peer, they are likely in mp3 format.