I take it you are using Apache?
I so, yes you can.
Check out .htacces files in the Apache
Configuration Documentation.
Unfortunately, what is probably happening is that the browser is seeing the correct MIME-Type for the file (image/jpeg), and
is noting that it can display it, and does so.
A work-around would be to do something like
AddType application/octet-stream .jpeg .jpg
In a .htaccess. This way the browser should decide that it can't view it, so prompt a download. I've never tried this, but it theoretically should work.
Hope this helps!
Mark.