problem with saving files

I have just started having a problem with saving pictures online. Now I will say that I'm not great with computer tech stuff but I'm somewhat knowledgeable about it. I know that I've never had this particular problem before so I'm thinking a setting got changed or something. Here's what happens:
I right-click on a picture to save it and click "Save Picture As". If I leave everything just as it is, then the picture saves correctly. However, I usually want to change the name and have never had a problem doing so before. (I know about the 'no symbols' rule, etc.) Before, I could change the name to basically whatever I wanted, verify that jpg/jpeg was selected in the pull-down menu and it saved correctly. Now, if I rename the file, it saves with the windows icon and always asks me what program I want to use to open it with. I pick my program and check the box that says "always use this program to open this type of file". But it never 'remembers' that. I guess that's because it acts like it doesn't know what file type it is.....even though I pick jpeg from the pull-down menu when saving.
Now, I did notice that if I add ".jpg" after the file name, it does fine. But, like I said, I KNOW I never add to type the extension after naming files before. Any idea why all of a sudden, I have to manually type the extension onto the name....rather than simply selecting the proper file type in the pull-down menu?