Acrobat creates PDF. You cannot this as it is a core design function rather than a "feature".
Once you've a PDF having an image as a page's content you can use Acrobat XI to export this content to a JPEG.
But, basically, Acrobat is for working with PDFs. If you want to edit JPEGs it is completely the wrong tool.
When I downloaded XI every one of my jpgs in my photo file was converted to a pdf without
being opened with XI. Nothing was done to them, yet they all now are pdfs and I'm forced to
open images that I need in XI and extract them as a jpg which they were before I downloaded
I wasn't editing images in XI -- I was editing images in another program and
when I saved the image as a jpg, it was suddenly a PDF and I was forced to
open it with XI and extract it as a jpg--a step I never had to do with earlier
versions of acrobat pro. When I saved images before they were imagename.jpg
If it is as you describe then this is a problem with the OTHER program. Acrobat can't change how other programs save their files.
There is another possibility, that the file is actually a JPEG but your system is set up wrong, so that Acrobat is run when you double click JPEGs.
You can look in File Properties to see which this is. But have you asked in the forum for the "other" program?