Hello and welcome to the forums, andrew113,
Have you enabled proper viewing of file extensions in Windows 7? File Extensions - Hide or Show
Windows 7 hides the file extensions of your files by default on a fresh installation.
Have you also checked the file properties for the Read-only tag? Can you manipulate the file completely? (move it to another drive, copy it, delete it etc.)
If you can't something may be having a lock on it, try using this following program to unlock it:- http://www.filehippo.com/download_unlocker/
I assume you're using either HJSplit or 7zip to merge those .001 - .00x files together?