Some general advice:
If your source data is an image (a jpg in your case, it seems), you will want to Georeference the image.
Look up 'Georeferencing' and 'Georeferencing Toolbar' in the help files.
You will need some features on the image for which you can identify locations that you can use to reference the image.
It is easiest if you know the coodinate system of the image data, and can identify sharp, unambigious features: latitude and longitude line crossings are ideal, but other features will work.
Georeference the image into a coordinate system matching the image, before trying to change that system (warp the image after the Georeferencing, not as a part of the Georeferencing, if you can).
