Read the WIKI on the JPEG file extension. In order to use it you need a program or device that can create or edit this format. Devices like cameras, tablets can create images in this format. Programs like Microsoft Paint, Gimp, Photoshop and a slew of other can also create/edit this file format.
If you have specific needs come back with more details on what you are try to do.
There are also may other image formats out there and some work better for certain applications.