When I first read your question, I thought the problem might be due to your connection losing a small percentage of the packets. However, in re-reading your question I notice that you said you can copy files of equal size, but not .jpeg files.
Can you save an image file instead of copying it? Right click on an image and choose "Save Picture As" instead of "Copy". Does that work?
If it does, then I would guess there may be a problem with your browser. What browser are you using? If it is Internet Explorer, have you tried the Internet Explorer Repair Tool?
(1) Click: Start
(2) Click: Run
(3) Type: msinfo32
(4) Click: OK
In the Microsoft System Information utility, click the "Tools" menu, Internet Explorer Repair Tool option.
If you can't save a picture file, I would guess there is some type of connection problem, or a problem with .jpeg image files within your system.
Can you save an entire Web page, then copy the picture once it is saved to your hard drive?
Click here to open a small web page (from my site) and save it to your hard drive. (File menu, Save As command).
Once the page is saved, open it in your browser and try copying the picture from the page into another application (like MS Paint, or MS Word). Does that work? If you can't copy the picture, try copying a picture saved in one location (but in a different application, like "Word" instead of your browser) on your computer to another save location. Does that work? If not, then I would guess the problem is related to .jpeg image files on your system.
I hope something here will help!
Dwight