Are you using PSP (Paint Shop Pro)? When you save a new image, just select what type you want to save it in (.jpg, .gif, etc)

I'll I get when I save it is PSP image.

in file use the "save as" option should be able to pick .jpg from the list , before you hit save

Like I said, I only get the PSP image option.

if you choose "file" ->"save as" you have a drop down choice of lots of files, like so:
http://www.stratplan.com/pspsaveas.jpg

ok, here's a cap. But this isn't from a graphic program, nothing wrong with that. This is saving an image from the web.

OK, I understand the situation - you are not in a graphics program like Paint Shop Pro when you are saving images.

So, you need to recover your associations, I believe. Sounds like they have been hijaaked to only what you have now. Here's how:
-----------------------
Windows XP provides you with a simple way to change how your files open. To get there, open up the Control Panel and select Folder Options. Click on the File Types tab at the top of the window to see a listing of all the registered file types on your system. Let’s say that your JPG files are opening in Paint Shop Pro when you’d rather have them open in something else. To easily resolve this format wackiness, just scroll down to the JPG extension, select it, and click on the Change button. From here you’ll see a list of recommended programs and other software options that are available. Since you want to use something else, just select it and click on OK. Continue to do this for all of the other formats that you’d like to tweak, and your files will actually begin to obey you.
-------------------
Good luck

That is not what I want. I want my computer to stop saving web images, that I save from the web, in .jpe form. I want them in .jpg!!

Looking at your screen shot, I see you don't have your extensions shown - here's how to make them show:
------------
Show File Extensions
1. Double-click the My Computer icon from the Desktop.
2. Click the Tools menu and select "Folder Options..." from the menu that appears.
3. Click the View tab.
4. Uncheck the "Hide file extensions for known file types" check box. (To uncheck a check box, just click it.)
5. Click OK.
Tip: You can set or remove this setting for each individual folder.
-----------------------
That said, you might try one or both of these options:
http://support.microsoft.com/kb/250747
http://support.microsoft.com/?kbid=810978#kb4

and, just typing the .jpg extension in the top 'name' box, i.e. filename.jpg and don't do anything with the bottom. I changed a test file name from .jpg to .gif that way - of course, changing the name may not make it a real .gif.

Good luck.