Marc made a decision early on not to allow users to post videos actually to the site due to the cost of storage. You can use an embedded video function, like you would get from YouTube, to post a video within your post. Otherwise you have to post a link to where the clip is elsewhere on the Internet. Either way, it has to be contained somewhere else first. I know some people post some pretty slick embedded stuff; I'm still trying to find out what they use because I'd like to do it too.
And RichK is right -- a JPG is an image file, not a video file.
Sometimes Youtube Videos get blocked by work places. Knowing that employees surf around, some employers will cut access to popular sites like facebook or youtube.
I have had some subscribers that could not watch an embedded youtube video on my site for that specific reason but a video from any other video-sharing site would work.