You could combine a Regex expression with a Linq clause Where
Regex r = new Regex(@"^\.\d\d\d$");
var list = Directory.EnumerateFiles(AppDomain.CurrentDomain.BaseDirectory,
_globalSetting.CompanyCode + "trn*.*",
SearchOption.TopDirectoryOnly)
.Where(x => r.IsMatch(Path.GetExtension(x)));
Notice that I have replaced your call to GetFiles with EnumerateFiles. This method allows to start the enumeration of the collection before the whole directory list has been read. So, EnumerateFiles (if you have many files in the directory) could be more efficient.