Creating JPEG images with gdal

Hi. I hope this is the right place to make this question. I'm taking my first 
steps with the gdal library on C and almost my first steps in C programming. 
I'm truing to creta some small jpg's using gdal. 
I know there are two methods for generating images using gdal: GDALCreateCopy 
and GDALCreate.

I made a small program in which you can specify the driver at execution time. 
When I use GTiff i get no problems. If I try to use JPEG I get:

"ERROR 6: GDALDriver::Create() ... no create method implemented for this 
format."

I'm a bit lost, http://www.gdal.org/formats_list.html says JPEG can be used 
for creation.

  Thanks, Tomas