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Do you have Photoshop CS4 or later? If you do its quite simple to do using Adobe Bridge. Simply select the JPEG files you want to convert to PDF format, then select the Output workspace in Adobe Bridge and you will see options to save the selected files as either PDF or a Web Gallery. Choose the PDF option, then use the Layout section to configure how you want the files to appear, and click the Save button to generate the PDF file(s).
In older versions you can use the Contact Sheet and Picture Package plug-ins in Photoshop to save JPEGs to PDF. And if you don't have Photoshop there are several tools online that can also do the conversion.