You have to do some registry editing to do this. This is for Visual Studio 2010:
Go to this key in the registry:
Copy the CLSID you see there and create a new key having the desired extension and paste the value in this new key.
You can also set extensionless files to python, like SConscript for SCons, by editing this key:
you then add the CLSID for python and below it, you create empty string value for each file name.