Download the freeware DVDAuthorGUI program and use the "menus|create m2v still" function to convert your jpeg to m2v format.
Use an authoring program such has DVDAuthorGUI or VCDEasy, which have built in functions for creating interactive menus using your mpeg still. Look for other tools at http://www.videohelp.com
VCD Menu Lite requires DirectX 8.0 or later drivers on your system.