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Are you using the option 'download via computer' (or however they word it) or are you just letting them go straight to K4PC?
If you can download them to your computer you can see the extension.
In fact, now that I think of it, don't they go somewhere in a computer file anyway? Something called Kindle Content? Not sure if you can see the extensions if you click on that folder or not.
<going to look>
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