As Abiel just indicated, a corrupted .jpg is probably not recoverable.
If you want to try some last-chance efforts, make a copy or two of the file, and try one or more of the ideas below. Sometimes one program will be able to read a file when another will not. Sometimes, you might be able to read part of the file, and part of it will appear as garbage.
° Try opening the file directly in the PSP XI editor (File > Open), rather than going through the organizer.
° Depending on where you got the file, it could be improperly named. Copy the file as a .gif, a .bmp, and a .png to see if any of them work.
° See if you can display the file in Windows Picture and Fax Viewer.
° Try opening the file in the Paint applet (Start > All Programs > Accessories > Paint).
° See if any web browser on your computer can open the file.
° In short, try any other application that can edit, view, or import .jpg files.
Should you find any success, then save the the file, if the application does that. Otherwise, copy the displayed image to the clipboard, using Alt/PrtScr; then paste the image from the clipboard as a new image in PSP.
If all that fails, and the picture is very important to you, there are software applications that claim to be able to recover or repair corrupted .jpg files. I have no experience with any of them, however.