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
filename.Date-time+unique no.

You an specify the folders in which you saved recovery and backup files and how many should be kept.