Hmmm, just realized you were trying to open jpeg looking at topic.
When you mean copy, you mean download, right? You can't simply copy/paste from webpages either.
Possible the jpeg is newer version i.e. jpeg2000, uses progressive instead of baseline or has color space/profile that current software doesn't read properly.Therefore...
1. Try renaming extension .jpeg to .jpg. Sometimes this works.
2. Need newer version of Photoshop that supports it or compatible graphics program.
i.e. ACDSee, Paintshop pro etc.
3. Once you have compatible viewer/graphics program. Just associate JPG extension with that program upon install of program. Using WINXP? Right-click file...
Open with..
Choose program..select "
Always select this program to open this type of file."