Motley, re-install Office and choose the option that lets you change the features. You need to install the picture handlers for .jpg and .gif formats. You can choose to install (or not install) just about every kind of converter you normally need with MSO. I'm thinking you didn't choose that particular pair of image options.
ruben, if you have an image in a separate file, try this.
Open the form in design mode. Open the image control properties. Load the name of the file to the .Picture property. Set the .Embedded to FALSE - you want to link in this test I am describing. In the picture's other properties, select one that maintains aspect ratio but also allows resizing. Switch the form to form view. As long as you don't have something in the Form_Current routine that would wipe out the .Picture, you should be able to see the picture with the file name you just loaded. Now, this is a test to see if you have a more serious problem or if it was just a bad set of options.
Oh... addendum. Make sure that the control is neither disabled nor locked. Look at every property of the control. If you don't understand it, use the F1 key get the question-mark help cursor and click on the name of the property that is confusing you.