.EEP = a native save file. These are loaded automatically when you start a game, acting like the battery back-up save on the N64 cartridge.
.MPK = a controller pak file, represents the N64 Controller Pak for saving game data. Normally loaded from an in-game menu, or automatically when you play the game.
.PJ2 = I believe this could be a save state file. Save states are loaded via Load option in the GUI.
.BFD = Not come across this extension.