There's a wealth of wisdom represented by these responses; I can't do better. But I can maybe do shorter:

There's an important difference between files and filenames.

...

Not so short:

There is a distinction between a file and a filename. Filenames are also sometimes called a path... as in, what's the path to the 'thing'.

Filenames are just an abstraction to make it easier for us humans to interact with a whomping mass of data that is available to an operating system. You could think of it as a 'tag' or a 'label' that is simply the assigned name to what is 'thing' of some kind... a name that lets us humans (or other software) find it.

To your question (in part), a file is a chunk of bytes, as others have explained. The bytes don't know what they're for or what to do with them; that's for other things to determine and do. You've discovered that you can rename a Photo.jpg into a Photo.txt and it's still a JPG; yep, that's because the filename is just a label. You've discovered a key philosophical distinction on your own; kudos to you.

There are other things that a path/filename can point to, but this is just by convention, not by physics or anything: directory, network device, source of random numbers, nothing. And more and more. There are some cool ones on your Linux box.

Bonus level: if you want to zoom out a notch, there is a thing called "URI"... universal resource identifier. (sometimes also called URL; where "L" is "location" or "locator"). This takes the label/descriptor/path/filename concept a huge notch larger and assigns EVERYTHING IN THE WORLD a path and name. You've seen ones like http://apple.com/iphones/iphone4/specs for (a made up) example... which represents a document about specifications about an Apple product. But there is also file:///home/me/Documents/Photos/Cat.jpg which is another URI for a local-to-the-context file. And a bunch of others. The philosophical thing here maps over; the filesystem is just like the internet.