I'm not sure why you're trying to open jpeg/jpg files with Adobe Reader. Adobe Reader is for files with a .pdf extension, and for most purposes is a read only application (not suitable for editing or creating new documents/images).
I'm not at all surprised when Adobe Reader version 8 presents me with the same message when I insist on asking it to open a jpeg image (I'm running it on Windows XP). JPEG files just aren't what Adobe Reader was intended for.
If you're merely wanting to view the jpeg images try using one of the viewers that came with your OS like Internet Explorer or the slide show available when you open the image preview (also on the image icon's context menu). You can also use some other photo/bitmap viewer like IrfanView available at
IrfanView - Official Homepage - one of the most popular viewers worldwide (includes a slide show program you can install on a CD-R or flash drive). Unlike the slide show that comes with Windows XP, the Irfanview slide show is able to display the file names on the screen during the slide show.
If you're wanting to create or edit PDF files you would need to invest in Adobe Acrobat (widespread use of the free Reader acts as an incentive for content providers to purchase the expensive Acrobat editor/creator) or edit your documents in another editor (like Microsoft Word, OpenOffice Write or Microsoft Publisher) and use a printer substitute like CutePDF.