It really depends on the program you're using. Whoever originally writes the program actually has full control over what format to save the files as, and the extension, and what case it's in, with absolutely no respect to the save dialog.
That said, if they're using a save dialog in the first place they will generally respect the user's choice. What program are you using to save the file?
One thing you can try is to type the filename with double quotes around it -- this can usually be used to force an unusual file extension (e.g. saving html files in notepad) and sometimes case. In your case, type with quotes "picturetest.jpg" in the save as box and see what happens.
Note that due to a windows limitation, if the file already exists when you save it, the case WILL NOT be changed. If the file doesn't exist already, it will be created with the case you, the user, (or really the program you're using) specifies.