Windows has its own convert command (I don't know what it does). If you don't have the IM convert in your current directory then windows will find its version which will complain that it doesn't know what *.jpg is.
One way around this is to rename the IM convert program to imconvert and then put the path to your imagemagick\bin directory in the PATH environment variable. Then you can use "imconvert" on the command line from any directory.
Pete