How to avoid automatic .tex extension in filenames?

There is as far as I know no way to get around the problem.

How TeX handles files with unusual numbers of dots (where "unusual" is any number unequal to 1) is quite inpredictable and also has changed over time. In miktex 2.4 e.g. \input{file.cfg} would have tried at first file.cfg then file.cfg.tex, in miktex 2.5 it tried only file.cfg, in the current 2.9 it tries at first file.cfg.tex and then file.cfg.

The only advice I can give: Avoid in TeX multiple dots like the plague.