Is there a setting in XP that will fix this?
Not particularly.
Windows recognizes filetypes by the extension. If the filename has no extension, Windows Explorer (desktop) is lost as to how to handle the file. Windows doesn't examine a file header (like an Amiga) or a resource fork (like a Mac). The only thing Windows Explorer does is read the filename extension and look up how to launch the cooresponding application for handling that filetype from the registry.
There is probably a patch or hack you can apply to Windows Explorer to add file header examination... But most hacks of that form usually introduce more problems than they are worth. Just make sure you preserve the filename extensions when you rename stuff. It's easier in the long run.
Or, if you really MUST have some datafiles without filetype extensions, you can open the app yourself and then pick the datafiles from the "File > Open" menu.