a .jpg world file is a second, separate file that will be found in the same folder as your .jpg after you georectify it in a GIS software like ESRI's ArcMap. It usually presents as .jpw, although somtimes as .jpwx.
In order for TerraSync to recognize the world file associated with your .jpg, you will need to set the file extension to .jpw. If it is listed as .jpwx, you can just manually delete the x form the file path-- at least that hasn't cause me any issues yet!
Best of luck,
-HLove