When you create a new data file, it will get a .trx extension.
Backup file have a .bak.trx extension.
Recovery file have a .rec.trx extension.
Recovery files are used in case of a crash, similar to what Word and Excel do. They are saved regularly while TR is open (you can specify the time interval).
For both recovery and backup files, there is also a timestamp information as follow:
MyData.20111102-094130232.bak.xml - Saved on 2nd November 2011 at 09:41:30
You an specify the folders in which you saved recovery and backup files and how many should be kept.