I'm going to give you the steps in Windows 2000, as that is what I have. The various flavors of Windows will do it similarly, if not exactly the same.

Double-click on My Computer and click on Tools-->Folder Options. Click the File Types tab and locate the jpg and jpeg extensions. Click on one of them and click the "Change" button. You will either get a window that shows options for open and options for edit, or you will just get one option for open. If you get the first option, edit the Open option and change it through the browse button to use iexplore.exe (usually in c:\Program Files\Internet Explorer). If you get the second option, just scroll down to find IEXPLORE and click OK.

Hope that makes sense. Otherwise, head over to google.com and do a search for "windows change file association". That should come up with something.