Probably the simplest way to do this (if I understand you right) is to create a form with two controls: A PictureBox and a Button.
Set the Image property of the PictureBox to the JPG file, and set the Text property to teh Button to "OK".
Double click the button in the designer, and use this code inside teh hanlder:
Close();
Run your app, and you should see the picture, and the OK button should do what you want.