How do I execute a file that doesn't have the file extension .bat? I want to execute a .cfg that contains a lot of set variables.

Just copy it renaming the destination file with the .bat extension and then run it. I assume, as you posted, the .cfg file contains executable batch commands and comment lines.

It's like this. I have a main blabla.bat file with the script itself. I want that script to read all the variables from the blabla.cfg So other people easy just can change the config file. And also wan other scripts to read from the same config file aswell.

To help you, a more accurate description of the content of the config file is needed, as the way the main batch has to exploit to access the related configuration script is bound to the .cfg structure.

Some examples...
main.bat
copy %1% %outdir%%1%

And the configfile..
main.cfg
set outdir=c:\batman\

According to your post, the best way to accomplsh what you want under Windows NT/2K/XP is to use the following statement

For /F "tokens=*" %%A in (Main.cfg) Do %%A

That assumes Main.cfg contains executable statements only (as your Set...)

Otherwise if you want to mantain compatibility with the DOS-kernel Windows 9X/ME, you have to turn to the less cool

Copy Main.cfg MainCfg.bat
Call MainCfg
Del MainCfg.bat