> How do I set the program to download only JPEG's?  I
> don't need all the other files?
You need the html so it can find the jpegs
filter:
-* +*.htm +*.jpg +*.jpeg +*.html +*.asp +*.jsp +*.cgi
The first 3 for basic sites. 
Some Unix/linix sites use jpeg/html.
If the site had dynamic pages you'll have to add those extensions as well.