Hello,
I use windows 8 so I do not know if the following will help you but you can try...
Open the .jpeg you want and if Save is Greyed out then add a New Blank Layer and then go and see if Save is now available.
This is how it is for me on windows 8. if i open a .jpeg and then go to File > Save ... Save is Greyed out but if I add a New Layer Save is available and I can then Save it as a .psd
When I open a .jpeg Save As is available for me (not Greyed out) but when I Click on Save As I must select .psd in the Save As Dialog where it says: File Name and under that where it says: Save as type is where you choose the format .psd
Hope this helps you Good luck!!