Your question is a bit difficult to understand- I'm going to assume you're trying to export the individual images (in .jpeg format) that you've captured in MonkeyJam. It's been a few years since I last used the program, but if I recall correctly it should save the individual frames as you take them; ie. to get the individual images, you don't need to export anything. They'll be located the image folder you set when you created the layer you're working with.

If you don't remember what that folder was, right click the layer name in the xsheet, click Edit Layer Properties, and the folder name will be be listed there.

To get the files in .jpeg you would have needed to change Settings>Image Format>Jpeg before you captured your images. If you didn't do that (assuming MJ is .png by default), you'll need to use another program to convert the images to the format you want.

Oh, that explains it   Hope you solve your problem.