Neil, do you mean you have a picture in another format which you want to turn into a jpeg or do you have a jpeg file which is still to large?
If the last is correct try opening the file in a photo editing software and re-saving it under a different file name. If you use the same name you will loose the higher quality image. That should reduce the file size.
By far the better method for posting to the web is to reduce the dimensions of your image and resave, this should should reduce the file size and is better for viewing. Again remember to use a different name or you'll loose the high quality one.
.jpg files are already compressed - try zipping them up and see what I mean - often the zip file is bigger than the original image.
You have a couple of options - the best one is to resample the image to a lower resolution and depending on your access to graphics packages achieved in different ways - Paint Shop Pro has a resize function, Photoplus has a resample and so on.
Alternatively could you post the pics to your own website and include a link??