The early releases of MySQL server series 4.1.x had a bug that was corrected with the release of MySQL version 4.1.13. In the MySQL bugs repository it is described here: http://bugs.mysql.com/bug.php?id=9660 .
This bug means that the server directive lower_case_table_names=2 does not have effect on InnoDB tables when server is running on Windows platform.
As a consequence of that the SQLyog CREATE TABLE and ALTER TABLE dialogues cannot save UPPERCASES in table names. They are saved as LOWERCASE.