I think I see your problem. When you click reply, it opens up a window where you enter text. There is also a box below the smileys that says attach: and has a browse button to its right. Ignore that box and do not post your file location there!
You're not trying to attach a jpeg, you're trying to post a URL that points to a file that is stored elsewhere. The attach feature is something that is built into the forum software but it is not used. So your logic is good, but it doesn't work that way. I guess the site admins do not want to host gigabytes of pictures. Can't blame them.
To test it out with a picture that you know will embed, do the following:
1) Right click on the embedded picture of my bike in the post above.
2) Select "Copy Image location" from the drop down box. I am using Firefox so your browser may word it differently. Note...image LOCATION, not the jpeg itself.
3)Now you have the bikepics URL of my picture in your clipboard.
4) Hit reply to start your post.
5) When the post reply box opens, just type in "test" or something, and then select the third button. It will put in the
placeholder for you.
6) Your cursor should be in the text box between the two IMG placeholders.
7) Paste (Ctrl-V on windows machines, Opt-V on Mac or Edit-Paste from your menu)
8) You should see the url between the two IMG markers. Try to preview it first and it should show the embedded picture.
9) if it looks good on preview, post it then check it out on the forum
If it does not work, then it may be your browser. if you're using something like Safari on a MAC then I'm not sure what you'll get.