VCD is short for Video CD which is more popular in Asia. Before DVD came along people, particularly in Asia, watched movies (almost 1 hr in duration) on VCD which was an early mpeg format in contrast to the format of DVDs... and maybe LDs.
No, the PS2 does NOT play VCD.
Because jpg is just a picture file much like gif, tiff, ond many others, the PS2 cannot display pic files w/o proper disc formatting mpg/mpeg/whatever.

Lately, I have just learned of the PS2's limitations in playing different formats (burned/copy/original) and I have come to a grim reality... Aside from its PS software, the PS2 sucks as a A/V player. I hope Marantz ventures into mobile A/V equipment!