I'm asked often by artists to explain the difference between a JPEG and a CD, and how to label one on the other. Perhaps this is an area of confusion for you, too.
Although no metaphor is perfect, the one that seems to help most artists is to liken the CD to a file box, and the JPEGs are the individual photos of your artwork you put into the box to submit to a show. But with digital photos, you need to put them on a CD because they have no physical existence otherwise.
Let's take this a step further. When you label a CD, you write your name and other information on the top of the CD ... just as you would on the outside of a box. Similarly, naming or labeling a JPEG on the CD is like writing the title of the artwork or other information on the back of the photo. The name of the JPEG is not visible on the photo when viewed ... it only identifies one photo from another on the CD.
A couple of final notes. First, never use an adhesive label on a CD. Only write on the top of the CD with a felt-tipped pen. And second, never label a digital photo by adding the title to it using Photoshop®. Only label an image on the CD by changing the name of the JPEG.