Jpeg is the most common format for IMAGES.
i.e. you've been sent a picture, which can't be opened in Word. Unless the file is corrupt it should open automatically, when you double-click on it, in your default picture viewer (which is probably Windows Picture and Fax Viewer).
If you want to create a Word document to include the picture, you first need to save the file to a convenient folder somewhere on your PC (e.g. 'My Pictures'). Then, in Word, go to Insert > Picture > From File. Navigate to where the picture is located and double-click on it.
Chris