You don't want to use OLE it is the worst bit of sh%te as it converts all objects into bit maps so you end up with a 500KB footprint from a 20KB jpeg. I totally agree with Rabbie - referentially access your jpegs and pdfs.
There has been a major inprovement with 2007, images can be stored in their native formats but just because you can do it, it is not necessarily the right thing to do!
Simon