I keep the origenal with the origenal name on the computer and give them a new name on my usb-stick which i use on the machine. Hop this will help you, Yvonne

Your computer may be asking you this because every file name has an extention at the end for example Word documents always end in .doc or .docx or something like that. All programs use a file extention like this. Try renaming a file but leaving the .pes (or what ever format you use).
example a file may be named cuties4951107.pes
You would rename it FLSAJewelery.pes. (Notice the endings are the same and only the lettering before the period was changed)
Your computer should stop giving you that warning and you should be able to rename your files accordingly. I hope this helps and wasn't too confusing.

Warning...for others....changing an extention so your card or machine can read it won't work...if you converting files use a file converting software.

I change it the way mhiemstra described it. But to make sure, you could always make a copy and change that name, see if the file is OK and then delete the original one.

I keep the name, but I put it in a new folder or file and label the folder of what it is. It helps remind me of what it is!