Key terms explained
Different digital camera manufacturers use different formats when capturing an uncompressed (RAW) file. RAW files from all Nikon D-SLRs have a .NEF suffix; RAW files from some Coolpix cameras have an .NRW suffix.
Any adjustments you make to a photo in Capture NX-D are stored in a separate file. This lives in an NKS_PARAM folder in the same folder as your edited image.