You have to make some changes to the render globals. It is one of the first (if not the first) option there.

I haven't gotten to animation yet, but I think you just need to change one of the settings there.

Frame/animation extention: From single frameto one of the other options.

Unless you render out as an AVI file, you should set the frame padding to 2 if you render out a set of frames with xx numbers, like 01-10 or 01-99.

Frame padding 3 for an anim. with the lenght of 001-100 or 001-999 frames.

There are also option for the file format.