And what exactly are you doing? Using what version of AE? On what system? What exactly is the problem? Do you get any warnings?
first of all, i'think that green screen images/videos are used for removing background/extracting some objects in a frame and to place it somewhere else as per one's wish.
it is also advisable that if u want to use some images, then process/manipulate/extrude whatever you want from the image, in adobe photoshop and then import the psd/png file which can (preserve the alpha channel)to the AE project which will save the rendering time and reduce the useage of ram comsiderably.
putting the jpeg image with green screen in the AE project and color keying it, however, is not the correct way, i think.