You are exporting to JPEG, so you need a GhostScript installation as described in the readme.txt. Did you install GhostScript?
You can check the "About" dialog to see if and where WinFIG could find GhostScript.
If you already installed GhostScript and it still doesn't work, perhaps your registry is messed with entries from obsolete installations:
Read here about how WinFIG determines which GS location to assume:
http://www.schmidt-web-berlin.de/winfig_forum/index.php?topic=25.0Remove all obsolete values.
If you don't want to do that, you could alternatively configure WinFIG to use a specific GhostScript installation by specifiyng the path to gswin32c.exe in the "Other" tab of the preferences dialog.
You could furthermore call "fig2dev.exe -L jpeg inputfile.fig output.jpeg" in the
"Command Prompt". This will show you any error messages. Also check the logfile winfig.log in the WinFIG folder for error messages.
By the way, JPEG is not the recommended format for drawings, because it is not loss-less and therefore not suitable for fine structures. Use PNG instead.