If you are not very familiar with building software from source and using/editing makefiles (as it seems to be the case here), then we recommend to use the CMake based build procedure instead. It will autodetect and configure available features like JPEG or PNG libraries and MPI etc.
That said, downloading the source code for the jpeg library doesn’t help you much. And since you are using a well maintained Linux distribution, we also don’t recommend to build it from source, but rather use the available packages from the Ubuntu package manager. For jpeg you have to install the libjpeg-dev package (with apt-get). After that, the compilation should proceed with either build procedure as indicated in the documentation.
If this is still giving you trouble, my advice is to find a local person with experience in compiling scientific software from source (there are plenty in the computational physics and similar departments). Or you should consider installing a pre-compiled package for ubuntu as indicated in the manual.
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