Most operating systems (Windows) require the use of file extensions, but others do not (Unix). This helps the computer to organize its functions and work much faster.
Operating systems will not look into the content of the files to be opened, but instead, it will immediately locate the file extension of the file and locate for associated application that can open GAME files.
Here is some information which will get you started. GAME file extension is used by operating systems to recognize files with content of type GAME.
To open GAME file you need to find an application which works with that kind of file.