Try that:
Look in your ActiveSync program (on PC). Tools / Options / Rules, then click on the "Conversion Settings" box. Here, go to "Desktop to Device" and see if there's something in the list for JPG images.
If so, you can deactivate here, and it's probably a program you installed / unibnstalled badly that caused that (It tries to convert the JPG using a 3rd-party soft, but can't find it since it's uninstalled

).
If there's nothing, well... You can deactivate
ALL conversions (by unchecking the check box in the General tab after you've clicked "Conversion Settings").
And if that still doesn't work, my best bet would be to reinstall ActiveSync (or don't use it for file transfers and use a card reader)
Hope this helps.