All depends on what software you're using. If (for example) you're using any form of Photoshop, you just open it, then save it as a Photoshop PDF, then re-open it in your PDF viewing program (maybe Preview or similar), and re-save it there as an ordinary PDF. Should work.
Open a word document, in Microsoft Word, Open Office Writer, or whatever you have.
Insert the jpeg as a picture within the document.
Go to file print and on your printer options, there will be the option to print/convert to pdf. Click that and it will save as a pdf file.