That's what I said. PSP's native format will retain the layer information.
Jpeg is a raster image format, and has no support for layer information. When you try to save it as a JPG Paint Shop should tell you it needs to flatten it.
Now I'm not sure what you are doing, but I can save an image 50 times if i wish, as long as it is kept in PSP format the layer information is preserved.
Saving it into some other format and then into PSP format, will not retrieve the layers. Once it is saved in a format that doesn't not support layers, the layers are gone.
For that reason if you work with many images, it is customary to keep an original file in PSP. So you can make changes to the layers if you wish.
Also when saving as JPG or GIF for web usage, its a good idea to use the File Menu ->Export options so you can compress the files will retaining quality.
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Ignorance is not necessarily Bliss, case in point:
Unknown has caused an Unknown Error on Unknown and must be shutdown to prevent damage to Unknown.