Hello ! I'm Aymeric, and I'm here to help !
You cannot create a new file with your own extension when using the right-click in the Explorer.
However, here's a workaround that works to create a file without an extension : open the Notepad, preinstalled on your Windows PC. Create a new file, and click on File > Save as, and next to “Save as type”, switch to “All files”.
Now, next to the “File name”, enter the name you want for your file, and enter the desired extension at the end of the file name.
You should have your file, with your desired extension.
Feel free to ask if you have any other question !