1) Check that source supports jpg with ImageFileFormat.Get.
2) Set to jpg is it isn’t already set with ImageFileFormat.Set.
3) Double check that #2 is right with ImageFileFormat.Get.
4) Execute Control.SetupFileXfer.Set and pass in a twSetupFileXfer structure making sure you set the .Format and .Filename fields appropriately.
It shouldn’t be much trickier than this. If you read .net code look at the method TransferPicturesAsFile in the ctwain.vb file in my source over at codeplex/openTwain.
If you have more questions, just ask.
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