Plone uses internally Python Imaging Library (PIL) for low level image manipulation and decoding.
This concerns only UNIXes as Windows installer comes with PIL binaries.
Get http://www.ijg.org/files/jpegsrc.v7.tar.gz, and then:
tar zxvf jpegsrc.v7.tar.gz
cd jpeg-7
cp /usr/share/libtool/config.sub .
cp /usr/share/libtool/config.guess .
./configure --enable-shared --enable-static
sudo make
Then you can install PIL with JPEG support.