Am using Blender on Vista without any probs.
When you say you tried to save a jpeg “into” Blender how do you mean exactly?
Are you trying to bake a texture and save it “out” from Blender to disc, or trying to load a texture jpg image “into” blender form disc?
Unpossible. If the texture is an image with a .jpg extension, you most certainly cannot rename it “name.blend” and expect Blender to open it. Files with .blend extension must be in Blender format. You load images as textures from inside Blender, for example in the UV/image editor, the texture panels, or the compositor.
What site are you looking at? Perhaps previously you were opening .blend files that had jpg textures packed inside them.