One annoying thing Windows sometimes does is save JPG files as JFIF, which is a rarely-used form of JPG, and is not recognized by many programs.
You can stop this by doing the following... (note: edited by Druff to provide correct solution)
1) Launch Registry Editor using Windows Search or Windows key + R pop-up window opens and type Regedit and press enter.
2) Navigate to HKEY_CLASSES_ROOT > MIME > Database > Content Type > image/jpeg
3) In the right panel, double-click on the Extension key. Its value should read as .jfif.
4) Change the value to .jpg and click Okay.
5) Close the Registry Editor.
That should fix it.