Yes, I posted in Gentoo forums. Maybe I shall file a bug in Bugzilla. And yes, I'm using emerge. As stated above jpeg libraries are installed and well present.
emerge --info
Gentoo Base System version 1.6.14
Portage 2.0.53 (default-linux/x86/2005.1, gcc-3.4.4, glibc-2.3.5-r2, 2.6.14-gentoo-r5 i686)
=================================================================
System uname: 2.6.14-gentoo-r5 i686 AMD Athlon(TM) XP 2500+
dev-lang/python: 2.3.5-r2, 2.4.2
sys-apps/sandbox: 1.2.12
sys-devel/autoconf: 2.13, 2.59-r6
sys-devel/automake: 1.4_p6, 1.5, 1.6.3, 1.7.9-r1, 1.8.5-r3, 1.9.6-r1
sys-devel/binutils: 2.16.1
sys-devel/libtool: 1.5.22
virtual/os-headers: 2.6.11-r2
ACCEPT_KEYWORDS="x86"
AUTOCLEAN="yes"
CBUILD="i686-pc-linux-gnu"
CFLAGS="-O2 -pipe -march=athlon-xp -fomit-frame-pointer"
CHOST="i686-pc-linux-gnu"
CONFIG_PROTECT="/etc /usr/kde/2/share/config /usr/kde/3/share/config /usr/lib/X11/xkb /usr/share/config /var/qmail/control"
CONFIG_PROTECT_MASK="/etc/gconf /etc/terminfo /etc/env.d"
CXXFLAGS="-O2 -pipe -march=athlon-xp -fomit-frame-pointer"
DISTDIR="/usr/portage/distfiles"
FEATURES="autoconfig distlocks sandbox sfperms strict"
GENTOO_MIRRORS="ftp://distro.ibiblio.org/pub/linux/distributions/gentoo
http://distfiles.gentoo.org"
PKGDIR="/usr/portage/packages"
PORTAGE_TMPDIR="/var/tmp"
PORTDIR="/usr/portage"
SYNC="rsync://rsync.namerica.gentoo.org/gentoo-portage"
USE="x86 3dnow 3dnowext X a52 aac acpi alsa audiofile avi bash-completion berkdb bitmap-fonts bmp bzip2 cdparanoia cdr crypt cups curl dri dvd encode exif expat ffmpeg flac foomaticdb fortran gdbm gif gimpprint glut gphoto2 gpm gstreamer gtk gtk2 hal howl imagemagick imlib ipv6 java jpeg lcms libg++ libwww lm_sensors lua mad mhash mikmod mime mmx mmxext mng motif mp3 mpeg ncurses nls nsplugin ogg oggvorbis opengl oss pam pcre pdflib perl png ppds python quicktime readline samba sdl sensord slang spell sse ssl tcpd tiff truetype truetype-fonts type1-fonts udev unicode usb vorbis win32codecs xine xml xml2 xmms xv xvid zlib userland_GNU kernel_linux elibc_glibc"
Unset: ASFLAGS, CTARGET, LANG, LC_ALL, LDFLAGS, LINGUAS, MAKEOPTS, PORTDIR_OVERLAY