Image formats other than PPM rely on an image format converter, such as the Netpbm tools, or convert which are freely available for most platforms.

Check that you have convert installed on your system.
On Linux type:
        which pnmtojpeg
It should respond with something like:
        /usr/bin/pnmtojpeg
If not, then have your sys-admin install it. See the links above.