Are you actually importing a jpeg that is already on your system or from over a network or from the web? If it is not physically on your hard drive somewhere then it makes sense that Illustrator can't read it.
Sorry to hear about this experience. I hope the suggestions shared by Monika, Lambilloon, and Bill helped resolve the problem. If not, kindly check if the files are saved on a network drive/removable media as suggested by Bill, and if yes, try to move them to a folder on your internal drive, open it from there, and share your observations.