Almost everyone names their JPEG files so that they end with
.jpg; this is done for historical reasons.
When browsers first came out, Microsoft's ®©™ Windows 3.1 was a very popular system. Since Windows 3.1 was based on MS-DOS, file names could have at most eight characters before the period, and at most three letters after the period.
While there are no longer many servers running Windows 3.1, people
continue to use .jpg as the standard file extension for
JPEG files.
If you are planning to ship a product on CD-ROM, you may wish to stick with the MS-DOS naming conventions, since some of your users, especially in schools, may still be running Windows 3.1.
In any case, your names should consist only of lower-case letters, the digits 0 through 9, and the underscore character. Other characters such as blanks or punctuation marks can cause trouble if you wish your files to be cross-platform compatible.