I'd be rather surprised if your picture isn't already in jpg format; it's the standard format used by most digital cameras and webcams. It's far more likely that the problem lies with an over-size file (MySpace won't accept files over 600Kb) or possibly with a long file name.
Go to the folder which contains your picture, right-click on the file and select 'Properties'. Check that the format is shown as jpg and that the file size is less than 600Kb. (Ideally it should be substantially less than this figure, otherwise it will add to the time that the page takes to load. For a small picture on MySpace, a file size of around 30 to 50Kb would be adequate).
Once you've identified the problem, load the file into Irfanview. (It's an excellent image viewing and manipulation program which deserves to be on every PC. It's also recommended on the mySpace FAQ page):
http://www.irfanview.com/
If the image is too large, use Image > Resize/Resample to make the file smaller. Then use File > Save As to save your new, smaller file. (Don't use the same file name or you'll over-write the original file).
If the file was saved in the wrong format, simply go to File > Save As and change the file format in the list of file types. (It's probably a good idea to re-name the file as you do this, so that you can correctly identify which file to upload to MySpace. Remember that MySpace only accepts fairly short file names).
Chris