To answer your question, though - Right-click your object, choose material>assign new material>lambert. A window will pop up. You see that checkered box to the right of the colour slider? click that. Another window pops up. Here, you can assign various textures to the object. One of them is "file." Click it. In the window that is before you now, click the folder icon and browse for the jpeg you want. Click Close, press 6 to display textures, and you're done.

You'll probably want to modify the texture somehow to fit your object (unless it is a simple plane), but I'll wait for your next question should you have one.