On OSX there's the concept of a Document Package, which is basically a directory that is shown to the user as a single file. This is the Apple documentation about it:
If your document file formats are getting too complex to manage because of several disparate types of data, you might consider adopting a package format for your documents. Document packages give the illusion of a single document to users but provide you with flexibility in how you store the document data internally. Especially if you use several different types of standard data formats, such as JPEG, GIF, or XML, document packages make accessing and managing that data much easier.
So you can create a directory called say MyFile.aaa but the user sees it as a single file without extension and with the icon of the application registered with aaa files.
Is there something equivalent on (any recent) Windows ?