Yeah just do them manually, or even better, use a batch conversion utility. Ideally you're in possession of software that can do batch image changes...
As for the download, you've now lost me. Why are you saving the download as jquery.jpg? It's a zip file. You need to unzip it and use the files as instructed. You also need to download the jQuery core from jquery.com. You may be in over your head so start kicking your legs and doggy paddle!