source and binaries extensions
 

I would appreciate it if someone could list out the equivalent extensions of source/object/executable/make of filenames

E.g. in Windows

.EXE Executable
.OBJ Compiled Object module
.MAK Make file
.C or CPP is C or C++
.H headers

Or any other important file names.

Thank you.

.c/.cc - C/C++ source
.h - header files
Makefile - Makefile for GNU's `make' utility
.tex/.latex - TeX/LaTeX source
.sh - shell script
.pl/.perl - PERL source file

executables have no extensions(.exe) but on a terminal, you can see them in green colour.

Hmmm....well many versions of linux have adopted the rpm method of installing programs. I suppose you can compare it to an exe. Linux also uses c++, so there is no comparison there. But keep in mind windows is not linux, and linux is not windows. Linux doesn't use exe. (Unless you use wine or another win emulator) It is also common to run across tar's, which were the standard before rpm came along.
rpm=red hat package manager
tar=linux tape archive
Usually a makefile is called 'makefile' and doesn't include an extension.

Thanks. But I have also seen .o and .so

What are these?

.o - object
.so - shared object...mostly, plugins have .so extensions.

if you use windows visual studios (VC++) they use .o files too.

i wonder if it's correct to say that .so files are equivalent to windows .DLL files (?).

If the .so is a DLL, then how does it get loaded? DLLs have a standard way of being called and executed.

.so are close to DLLs, and they are loaded at runtime..

I'm not 100% sure, but I think you'll find that .so files have a standard way of being called and executed also... I can't remember the theory :) .