You have to have the jpg on a website somewhere in order for it to display in your message or be linked to in your message. For example the 'funny face' GIF below is actually on my own personal website.
To post a picture from your website you just copy the URL for it and then paste it into your message. If you just paste the URL with the .jpg on the end, then the picture will be 'embedded' in your message. If you put a ; (semicolon) immediately after the .jpg it will turn it into a clickable link.