wdsmgfw_ex.efi

UEFI application Reference

An .efi file is a program for the UEFI firmware of a computer. The file has the Portable Executable format. The firmware runs .efi programs before the operating system starts. The Windows boot manager, bootmgfw.efi, is such a program. The files stay on the EFI system partition.

A file extension is only a part of the file name. It does not give a guarantee about the format or the content of a file. But on Windows, the extension selects the program that opens the file.