As Hello71 commented, to me it seems as if you are confusing things (if you aren't I apologize). File name extensions aren't meant to be changed like that. If you turn on the extensions at the end of file names, you can change its extension to .pdf, but it will not make it a PDF file. You will need to use some software to convert it to PDF. I think that Illustrator can do it natively, but I haven't used it in a long time. Another option would be to use one of those print as pdf drivers. If you have Acrobat installed, you should already have this. It will show up as printer. When you send something to be printed, it'll be converted into PDF. If you do not have Acrobat installed, just search for free print to PDF driver. There will be numerous results. I did use some of them a while ago, but I can't remember which one, so I cannot give you any recommendations.
If what you wanted was just to rename file without converting it and without enabling extensions on the end of file names, you could try to use command prompt or powershell.
Type CMD into start menu search and run the program. Then use cd command to go to the directory where the file which you want to rename is. The easiest way would be to go there inside explorer, cut the path and type cd into CMD and press space. Then using right-click paste the path. Here's and example of what you should get in CMD (assuming the files are in Peter directory on C: disk):
C:\Users\AwesomeUserName\ cd C:\Peter
After that use the rename command to change file name, like this:
rename michael.ai lazarus.pdf
After that, michael.ai should be renamed into lazarus.pdf. As I said, that will not make the ai file into real .pdf file.