If you double click a rom, does it automatically run, or open in any way whatsoever, other than the "open with" dialogue?
If so, you may find you've got the default windows option "hide file extension for known types" turned on. If you're in 98 or 2K, go to folder options (maybe on the tools menu in any folder, maybe on the view one) and uncheck it. On XP its probably the same thing, but I haven't used it much, so don't know for certain.
I've been using snes roms since '97, and I can honestly say that I've yet to come across any rom - US or otherwise - with an extension other than either SMC or FIG.