1st, Pictures that are "overly" large may cause video editing problems
Photo Scaling for Video http://forums.adobe.com/thread/450798
-HiRes Pictures to DVD http://forums.adobe.com/thread/1187937?tstart=0
-PrEl Crash http://forums.adobe.com/thread/973935
2nd, what is the source of the picture? (ie... which camera)
SOME pictures may be created with "malformed" file header information... the solution is generally to open in Photoshop and resave to fix the file header
3rd, Pictures must be RGB not CMYK (CYMK?) http://forums.adobe.com/thread/1081681
Along with John T's recommendation for RGB, the Images must also be 8-Bit. Please check your Color Mode (you want RGB), and also Bit-Depth (you want 8-bit).
Also, some JPEG's can be Progressive, in that when used on the Web, they load with increasingly higher-rez versions, until the final has loaded. This will not work well with Premiere, so do not save any as a Progressive JPEG.