Program download (current version is 0.9.188): JPEG Splitter
Extract the .7z archive into a folder using 7-Zip.
If you run the program straight from the archive without extracting all the files, the program won't be able to see the DLL files which it needs to load and save images.
Errors when trying to run? You might be missing some OCX files the program needs, so...
OCX Files download: JPEG Splitter OCX Files
Extract the OCX files to the same folder as where you extracted the program to.
Then when you run the program it should be OK.