Are you sure your profile ends with an .icc extension? (.icm should also work but that is legacy and I recommend avoiding that). Windows can screw that up for you, and Capture One would not be able to find it.
Need to attempt to get them renamed, however special software is required in windows to rename a icc profile, which I currently don't have.
As long as you just need to rename the files, you should be able to get by with Explorer. Assuming you use Windows 7 do this:
1) Find the folder or type %APPDATA%\..\Local\CaptureOne\Color Profiles
2) If the menu is not shown, press the Alt-key to reveal it
3) Select Tools -> Folder options in the menu
4) Go to the View tab and make damn sure that "Hide extensions for know file types" is disabled.
While you are there anyway, you may as well improve your mental health by enabling "Always show menus" and selecting "Show hidden files, folders and drives".
You can now see the true extension of the files. More importantly, you can also rename it. Windows will whine: "If you change a file name extension, the file might become unusable." Just ignore it and you will be fine. If you don't get that message, something went wrong.