|First of all, I apologize it has taken several days to reply--I was not aware that this post was still going! :)|
Make sure that you are naming them correctly, for instance, that when you append .jpg to the end, the file was originally actually a JPEG file. If not, you are getting your picture files into a mess. Also, you may want to verify the CD you burned, if you still experiencing issues. My advice is that if you are burning in Windows, press the Windows logo key and hold it, then press R. Type in control folders, and press enter. In the second tab of the Folder Options dialog box, check "Show extensions for known file types" and click OK. This will work on Windows XP, Vista, and 7. Then see if you can burn another disc. All extensions should now be appended. If you are really concerned about file resource stripping (such as the extension identity of .jpg, for instance), compress the pictures as a .zip archive. If you don't know how to make a .zip file, I may be able to help you with that as well.
Let me know if this isn't exactly the answer you were looking for, need more assistance, or would like to comment. :)