It really depends on what it is exactly that you’re trying to do.
Are you attempting to open these files locally? Download them from a web server? Transfer them across platforms (via ftp, ssh, whatever)?
It would help to understand the mix of platforms and applications involved.
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You mention web hosting in Linux. From that I can imply you’re downloading to view in a web browser.
Perhaps your web server’s list of mime types doesn’t have the various case possibilities involved? Or it’s assigning the wrong mime type for jpeg?
Are you using the same browser on both XP and Panther? Different ones?
And what do you mean the image “doesn’t show up”? Are you seeing a broken image icon? Or just blank?
There’s also the possibility of network issues, too.
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Sorry to ramble, but there’s too many possibilities to count without more details.