I need to confirm this, might worth a report..
EDIT. looks like a long standing bug, I found 3 report at bugzilla. Im not sure if it will get attention in current stage of firefox 3. I can only suggest to double click the file name before you rename it, which will select all of the names except the extensions.
Are u using beta 5? There are quite a few bug fixes since beta 5, try out RC1 when it released next week or so, if still not working, please let me know, or file a bug report yourself to bugzilla.mozilla.org . this type of bugs are of the top priority if conformed.
http://www.mozilla.com/en-US/firefox/all-beta.html