Read the F***ing Manual provided with it ?

From memory it should be something like
fix.bat mingw32
make
make install

Set your Environment Variables as explained here

Are you using an IDE?

If you do, you're not linking correctly to the MinGW compiler.

If you don't, I have no idea, since I have always used an IDE.

You could also have a mess of different compilers there... or something. If you're sign Code::Blocks you should have something like this:

{"name":"400px-Auto.jpg","src":"\/\/djungxnpq2nug.cloudfront.net\/image\/cache\/9\/c\/9c897c1c060a8faf888a76b969cdcbc3.jpg","w":400,"h":493,"tn":"\/\/djungxnpq2nug.cloudfront.net\/image\/cache\/9\/c\/9c897c1c060a8faf888a76b969cdcbc3"}

Don't know what those linker errors are exactly, but usually they mean that you are missing the lib file. It might be at the right place on your hard disk, but your project doesn't include it.

I use Dev-Cpp for my Allegro 4 projects. After compiling the jpgalleg library, I've moved the libjpgal.a file to the /lib directory under C:/mingw/ and the jpgalleg.h file to the /include directory.

In my project settings (Project->Project options->Parameters->Linker) I include the line -ljpgal there. If you have a project setup for Allegro, you should have -lalleg there. Add -ljpgal there on its own line, before -lalleg.

In Code::Blocks I guess it's Project->Project build options->Linker settings and the frame "Link libraries:"

If you just use command lines, I guess you have to compare how the makefile is written for a normal allegro project, or how you write the command line. Where you see the -lalleg thing, add before it the -ljpgal thing.

If this doesn't work, I guess your compilation of the jpgalleg library has failed.