Presuming your Python extension foo is intended to be used as a module, accessible via import foo, you don't need to know what the filename extension should be on what operating system. You just use distutils. You will get a .pyd on Windows, and a .so on Linux etc. Read this documentation.
Update in response to comment by @gecco
import foo is working both both extension types: dll and pyd. The extension does not matter here... :
For me (Python 2.7.1, Windows 7), python -vv shows only pyd, py, pyw and pyc extensions (in that order) being searched. If I have foo.pyd in C:\python27\lib\site-packages, import foo works. If I rename that file to foo.dll, import foo fails.