Copy .exe files and shell scripts to some directory in your PATH.
Copy .dll file to some directory in your LIBPATH.
Copy .a and .lib files to EMX library directory.
Copy .h files to EMX include directory.
Use -ljpeg_s for static linking.
Use -ljpeg -Zmt -Zcrtdll for dynamic linking. (if you omit -Zmt or -Zcrtdll,
it still works, but the library uses a different heap than your program)
