Try this way:
string[] formats = {".jpg", ".png", ".txt"};
var files = Directory.GetFiles("C:\\");
var neededFiles = files.
Where(file => formats.Any(file.EndsWith)).
ToArray();
Alternatively, for .NET 2.0:
var desiredFiles = new List<string>(files.Length);
foreach (var file in files)
{
foreach (var format in formats)
if (file.EndsWith(format))
{
desiredFiles.Add(file);
break;
}
}