Something must have went wrong with download. Jpeg is not a proper file name for a theme.
Theme should have file name as .alx for over dm installation or .jad or .jar for ota installation.
Check that theme again and try redownloading it.
That's ok.
Plug your BB you your computer and are if you can transfer that picture to your "Picture" folder on your BB (hope you have MicroSD card).
Once the picture is transfered, go to your BB - open your picture folder on your card - select your picture - hit menu - choose set as home screen image.