Several graphics formats use pfi extension for their images. If you are not sure what kind of image it is, you will have to try any of the following options to identify the origin of your file.
Saving Panorama Factory images in JPG format
The Panorama Factory photo editor from which one the *.pfi files originates supports export to several other graphics formats, including JPEG.
Exporting PhotoFiltre Studio images as JPEGs
PhotoFiltre Studio also uses pfi extension for its main image format and also supports saving to JPG format.