There's no extension because you didn't specify one. The usual extension is 'bak'. You can provide it

NAME = N'MyDatabase-Full Database Backup.bak'

The backup command creates file in special SQL Server backup format that RESTORE command recognizes.
You did specify a lot of unnecessary parameters that are related to tape backups.



>I did a backup with this:
>
>

>BACKUP DATABASE [MyDatabase] TO  DISK = N'D:\Data\Backup\MyDatabase'
> WITH NOFORMAT, NOINIT,  NAME = N'MyDatabase-Full Database Backup', SKIP, NOREWIND, NOUNLOAD,  STATS = 10
>GO
>

>
>This has created a file in the mentioned location. The file name is MyDataBase. There is no extension. Windows also do not recognize that file because there is no extension so I have no idea what it is. What kind of format is it? Is that file encapsulating the .mdf and the .ldf? To recover from a backup, I assume we would have to issue a restore. Is that correct?