I googled your error and there are too many options to list so here is the link for you to read.
Here is another source. Look at the 2nd response pdf file.
Thanks for the google results but of course that was the first thing I tried. None of them refer to my scenario, including the PDF you pointed out. That is in reference to placing Illustrator documents and non-printing objects, which of course should not apply to placing .jpg images.
There was no mention of .JPG in your origional post. Just PSD format.
There was a artical further down in the second link that mention that if the picture was set to not be able to copy or something near that wording then the error would show up. Might have been set to be able to print or not printable (as if in a copy protection on the picture)
Just a few trouble-shoots: Have you tried copying one of the photos out to your dektop then opening? If they open then, the doler may have some kind of restrictions on it. If that doesnt work, open a photos in somthing like MS Paint, cut it, and paste into a photoshop document and save over the original. Maybe the files are corrupted in a weird way.