Excel not allowing to save file with Uppercase letters in file name

A co-worker of mine is exporting files from Quickpen as excel files, but every time he names the files with any Uppercase letters in the files name, they are automatically changing to all lower case. Even when he tries to rename the files, they will not stay with any uppercase letters....I have searched all over and cannot find a solution. If he sends ME the file, I can open it in excel and save it with any cases. Any ideas??

I know the file names are the same whether Upper or lower case, but this co-worker wants to have some uppercase as well as lower case in the file names. I just can't figure out why I can do it on my computer, but his computer automatically changes all to lower case. Is there a setting somewhere that controls the naming allowances?