Most web hosts use Linux and not Windows. Default behavior in Linux is that ALL folders and files are case sensitive.
Default in URL is that everything up to the .com, .net or .wtf is NOT case sensitive, but everything following that first / IS case sensitive.
I've always gone by the rule to make all publicly seen folders and files to be all lower case and anything I want slightly hidden to be initial uppercase.
DO NOT go around and change the case of your folders and files now! They are already coded to work the way they are. Unless you know what you are doing. You can change your Blog directory to blog, but before you do, change the info in your wp-config.php file. You may need to also change something in your database via PHPmyAdmin, but I don't think so...