Although typically embroidery designs (like the .exp files used by Melco) are made from vector graphics, it may also be possible to create them from a bitmap source (.jpg). In order to do this, you will need an embroidery software with a digitizing function that allows users to turn raster images into vectors.
Open JPEG file Open EXP fileAn embroidery designs manager
An embroidery design tool from Janome
An easy embroidery and apparel decoration design software