Trying to copy 2 files, Same name but jpg and JPG extensions

I'm trying to copy two files from remote site to my local PC.
The file names are 3620.jpg and 3620.JPG They are different image files.
The problem is that one tries to overwrite the other.
I have Options, Preferences, Filename Modification: "No change" selected.
Is there a way to do it ?

Windows file systems are case insensitive. So you cannot have two files with just different case.