It is a pain I know. Windows likes to decide what the content is and then change the folder accordingly, even if you set it to one type, it can change later. There was a KB hotfix that was supposed to fix that but some say it still causes problems.
I use a file manager instead, I despise explorer, it is something from an OS 10 years ago in its design.
A couple free ones if you want to look at alternatives:
http://zabkat.com/x2lite.htm
http://www.cubicreality.com/ce/
http://www.freecommander.com/
http://www.explorerplusplus.com/home
Most of these programs also allow you to customize the font and size of font used, set colors of the file name based on file type and more
These are the two I use, free trials for 20-30 days only.
Has every util you are likely to need in one central app -
http://tcup.pl/index.php?l=en
Directory Opus, supports scripting so you can customize all you want, native 64 bit client as well -
http://www.gpsoft.com.au/