Would probably need to see a screen capture video. Only thing I can think of, are you sure Windows Explorer is set to show file extensions in that folder? There is an option to hide file extensions (you'd see "filename" not "filename.exr" in the Name column, and EXR under the Type column), I guess then if you click on the name to enter edit mode and add ".exr" you end up with "filename.exr.cxr" (it would show as "filename.exr" in Name column, but still cxr in Type column) so it would be a cxr still. Make sure also that the folder isn't protected in some way so that you can't edit its contents.
Anyway, if file name extensions are showing so that you see "filename.cxr" you should simply click into the name, and change .cxr to .exr so you end up with "filename.exr". With it being that straightforward, this is why I wonder if a video wouldn't help so we can see what is going on - there's little else we can explain or idiot proof in that, it is so simple!