and again, not sure how well informed you are about the different formats which you can shoot in, but as already mentioned here NEF is the raw data which is captured by the camera sensor. if you are used to shooting in jpeg mode the NEF will certainly be new to you. when shooting in jpeg mode the camera will take the raw data, apply presets for various parameters such as brightness, colour saturation, contrast etc. and make a Jpeg for you. The advantage of shooting in RAW nd processing the raw images in the computer is that you have alot more flexibility.
There are many free programs available for displaying RAW and exporting to Jpeg. If you are using a mac you are in luck as there is a powerful image processing software called Darktable available (which I use). check out darktable.org It is completely free and there are many youtube tutorials available.
I will definitely have to give that a go! I am making the assumption that I have never shot in RAW before as I've never seen so much detail in the photos before from the camera.