From the details provided we can determine what is wrong, you'll need to do more checks at your end.
It may be that you have the jpeg plugin already and it's just not on your search path. How did you build the OSG? Where did you install it? Have you set any paths to find binaries and libraries associated with the OSG?
The plugins are located in a osgPlugins-version directory. The jpeg plugin will be in the form osgdb_jpeg.so / osgdb_jpeg.dll.
One tool you can use to find out where the OSG is looking for plugins is to enable verbose console output by setting the env var OSG_NOTIFY_LEVEL to DEBUG and then run your application with your data. You don't mention anything about what platform you are using so I can't say what the best way to set the env vars might be in your case.
The DEBUG console output will include all the paths checked for loading plugins and files. Look output for the jpeg plugin amongst the list and the paths checked.
If you built the OSG yourself then check the CMake settings to see if it's found libjpeg.