The trick mentioned above works with files with no extension by specifying a dot as the file extension(one dot in the text box, nothing more), then selecting from the drop down list. This works because apparently files with no extension really have an invisible/hidden file extension of a single dot.
For third party programs first something from the list needs to be selected and saved before being reopened and clicking change.
There are reg fixes out there as well, can't remember the keys of hand.
Of course I tested all this on xp, not so sure it will all work the same on win2k.