I thought the various photo files were universal? A jpeg is a jpeg is a jpeg.
That's true. There is no such thing as a "Mac jpeg" or a "Windows jpeg" - it's a jpeg. Somehow your file is corrupt.
From what you say the most likely cause is that you didn't really save it as a jpeg - you saved it as something else (maybe a gif?) with a jpeg extension. Macs don't (always) use the extension to work out the file type but PCs do. PCs will throw a wobbly trying to open something called a jpeg that isn't but Macs will just generally get on with it.
If it's not that then the file is corrupt for some other reason.
As picsfor says, a Mac can read a PC file but the PC can't read a Mac file unless, it's saved as a PC file structure. So, transferring the Gif from a PC to the Mac isn't a problem, but saving on the Mac after working on the file, changes the structure format of the file hence, why you can't open it on the PC. When saving on the Mac you can change the file structure so it can be opened on a PC. Have posted another link below.
Nope. You're confusing disk formats with file formats.
PCs can read and write NTFS and FAT. Older Macs can read and write HFS and FAT and read but not write NTFS. Recent Macs can read and write NTFS too (I think it came in in Leopard but it may be new in Snow Leopard). PCs may be able to read HFS now. They might even be able to write it for all I know. But that doesn't affect the file format - if the OS can read the disk it should be able to read the file.