This is a combination of a Poser buglet and a Windows stupidity.
Unfortunately, I have a german Windows so I don't know the exact names they use in english, but try this:
Open Explorer -> Extras -> Folder Options -> View -> don't show known extensions. Uncheck this for all folders of your system (this requires just one or two mouseclicks, depending on your other settings). Poser will then show you the filenamen with extensions.
Your filenames probably is "Untitled.jpg". Make it "Untitled", then you can save it in any format you want.
(And leave the display of the extensions on, since they are crucial for Windows and every user should know as much as possible about what his OS is doing.)