Some desktop applications show all of the files, not only the ones compatible. The compatible ones have full alpha and the "incompatible" ones are greyed out but can be selected as well (although this is also different in some programs). Whether you want to do it like that or not display them at all depends on the way your app can handle those files.
If I open a file with a different extension or no file extension at all, will your app crash or will it try to really read the data in file? On OSX, for example, I can export iwork documents as pdf and the resulting files do not have a file extension (by default, I can manually change that in the export dialog).
The question whether to show or not to show those files in the open file dialog is if you app can handle those files correctly (detecting that it is a pdf, for instance, and act accordingly). If your app is not capable of such behavior and will prompt an error when the user selects such a file, then leave them out in that dialog completely.
It is bad practice to offer choices to the user that will end in error during the next step if that is predictable. If you need to do it that way, put a help text in that dialog explaining that only files with extensions x, y and z are displayed. Better way (in my eyes) is to change the app to be able to handle the files correctly, even without file extension. Then, of course, all files should be visible in the open file dialog.