in windows explorer, right click the file. Is the "Read Only" box ticked?
Also, in windows explorer, go to the tools menu, select Options. In the dialog go to the View tab. Scroll down the list and untick "Hide file extensions of known file types".
Once done, double check that the file is actually a jpg. The extension will be .jpg or .jpeg
I've not heard of windows changing the icon depending on whether the file is read only or not so can only assume it's not actually a jpg file
screenshots may be useful if possible.
Sorry if that's a bit patronising
