For some users, simply change the extension of the world coordinate file that came with your JPG photo from *.wld to *.jgw, or, use a utility to read the wld file, which references coordinates of the top left corner of each image, accounting for a small buffer around the photo.
For some users, in the task pane, connect to data, add raster image or surface connection, choose the folder and files and add them to the map.
To insert a single image, create a new layer and use the coordinates that are embedded in the file name (see Q&A below) using the command, IMAGEATTACH to insert a single image. Use the easting value for the X-coordinate and add two zeros to the end, use the northing value for the Y-coordinate and add two zeros to the end. The scaling factor is 500, because a single tile is 500m x 500m. Use the command CDORDER to change the image drawing order to the back, behind your text and linework. The image will be attached as an Xref, so use the command ETRANSMIT to package your work if you intend to share your DWG file.