On Windows, I can't think of any common reason to want to save a file edited in IDLE without the .py extension. On the other hand, accidentally forgetting the .py extension is annoying, and users have come to expect a default extension being added by applications (e.g. MS Office).
Guilherme's patch (applied manually) works fine here on Windows7. I'm +1 for committing this if it has been tested to work as expected on Linux and OSX.
(minor nit-pick: could use sys.platform.startswith('win') instead of slicing)