This is a native (not .NET) program, correct?
The Windows GDI+ subsystem can read a JPEG file and return a bitmap, using the Bitmap.FromFile API. I'm not sure offhand what the best way to invoke that from COBOL might be. If I were doing this, I'd write a small C++ wrapper that exposed an extern-C entry point.
There's also the Windows Imaging Component:
msdn.microsoft.com/.../ee719654(v=vs.85).aspx
I've only glanced at the docs, but it looks like you instantiate it as a COM+ object and then invoke methods against that. If memory serves, in NetExpress you can map COM+ services using the IMTK, so that might be an easier route.