Windows NT does preserve the case of a folder and file, just as you type it. Unfortuneatly, the default display does not.
To remedy this situation, use Regedt32 to navigate to:
Double click the Settings value in the right hand pane and set the high-order bit of the 5th byte to 1.
NOTE: In the Binary Editor, if you click the Binary Data Format, this bit is directly under the heading 4.
NOTE: You must logoff/Logon for this change to take effect.
To set this in a batch/logon script, run JSIShowCase.bat (no parameter).