Mike,
Yes: Celestia uses the file name for all three and needs all three to be the same type.
Nvidia provides a conversion utility and a photoshop plugin to create dds dxt files. (Rassilon, Fridger and Don Edwards have talked about these utilities many times.) The command line utility, nvdxt, doesn't work on jpeg files. It requires either TIFF or Targa format files as input. It claims to work with PNG files, but it crashed when I tried that.
The utilities and plugins can be downloaded from Nvidia's web site at
http://developer.nvidia.com/view.asp?IO=ps_texture_compression_plugin in the "attachments" section of the page.