The general approach:
I would aim to do it by loading your jpgs into
a child clip inside an otherwise empty positioning clip. If
you do it this way then I believe you could have your dropshadow
filter applied to the positioning clip before loading, and the
child clip inside the positioning clip would inherit the filter
(and because the positioning clip has no other content, it would
have the same appearance as if the filter were applied directly to
the child clip).
Or if there are several jpgs loading (for simultaneous
display), load them into multiple child clips of a positioning
clip. You could then apply the filter from code via an onLoadInit
(MovieClipLoader) handler for each child clip after it has loaded.
In this case I believe the filter needs to be applied dynamically
each time in each image target's MovieClipLoader onLoadInit