exe to jpg conversion makes not much sense considering that exe (executables) rarely hold pictures (JPEG for example), but in some cases exe to jpg conversion might actually be possible. The most common example would be a self-extracting archive (.exe) that contains one or more compressed pictures (.jpg). In this case, executing the file in Windows environment should yield your files.
A much less common example would be a small program that views one or more pictures upon launching, for example a screensaver or compiled presentation of some sort. In this case you would have to find the original tool that made the .exe file and check for some decompiler tool.Open EXE file Open JPG file