That message usually occurs when you've got Windows configured to show file extensions. So a picture file will be shown as something like DSC_0123.jpg. If you then try to rename it simply as MyDog01, Windows will throw a wobbly (and won't know how to handle it) because the .jpg file extension is missing.
Solution 1:
Take care to ensure that the .jpg extension is retained on the end of your renamed file. (e.g. rename your file to MyDog01.jpg, rather than just as MyDog01).
Solution 2. (Better!)
Turn off the display of file extensions. (You'll then see DSC_0123.jpg simply as DSC_0123 but, when you come to change the file name, the hidden file extension will be automatically preserved).
To make any currently inaccessible pictures files (resulting from your failed attempts to rename them) accessible again, simply rename them with .jpg on the end.