First off, you the camera will always append 4 digits to the prefix you choose, which will always be 'ABC_' or '_ABC' depending on the color mode (Adobe RGB shifts the underscore to the front). Filenames will always be 8 characters.
My first question is what is the filename displayed on the back panel when you review the image? It needs to be either JMP_xxxx or _JMPxxxx.
My second question is similar to Eduard's - what program are you using to import your photos to your computer? Most programs have a section in the import module that allow you to rename the photo during the import process and I suspect that your program is doing that. If you're using Lightroom I suspect you have it set to rename it as Filename-Sequence with a 3 digit sequence number - or something similar to that. Check your import module and uncheck any renaming option.