Photoshop :: Cannot Save As JPEG

I cannot save some images I've edited in the JPEG Format. Although I choose JPEG and overwrite the proposed filename (always xy.psd (!), I've selected already JPEG Format) with something like xy.jpg, the file is saved in photoshop fileformat (the file is something like 25mb big, it has the ending jpg but cannot be read from another application like ms paint -> original size of image is about 3 megs, jpg fileformat...). I also don't get the dialog box where I can choose the settings (like quality..).