Photo name .jpg may contain an application alert

When I attach a digital photo edited by Photoshop Element 2.0 to an email to send out, and double click on the embedded photo in the email to see it at full size, I get an alert that says:
"CIMG6687A.jpg" may contain an application. The safety of this file cannot be determined. Are you sure you want to open "CIMG6687A.jpg"?
CIMG6687A.jpg is a Photoshop-edited photo that I attached to the email. It shows up fine in the email in the reduced size, and I can drag the embedded photo to the desktop, double click it there, and Preview opens it at full size without any similar warning. What is going on here?
Also, like another poster, I frequently have problems with my friends not being able to open my photo attachments on their PC's. Saving to disk sometimes works, but not always. This seems to be more of a problem with the Photoshop edited files, but it happens with unedited photos as well. I thought JPG was a universal format recognized on all platforms...
TIA!
Drake

The particular photos I have had problems with are those taken by my Casio Exilim (EX-S3) digital camera, and subsequently modified by Photoshop Elements 2.0. Not every Photoshop photo is so affected. I have not been able to determine if the nature of the modification (cropping, color balancing, brightness & contrast adjustment, etc.) is related to the false alarm security alert or not. I am still experimenting with that. And again, I only get the alert when expanding them in the iMac Mail app, not when I open them using Preview. And yet I know the Mac OS checks to see if data files (.txt, .jpg, .mp3, .tif, etc.) contain hidden executables and warns you of that on launch. So I don't know why the problem arises only in the Mail app.
On a more general matter. I am unclear how a jpg can be modified to execute code as noted by Kurt above. I know this is a problem, but from my 30 years of writing code I always thought there was a clear distinction between applications and data files. The latter could not be executed as code, just read. So when a PC opens a jpg file, presumably the application doing the opening is the code that is executing, and the bytes read from the file are used to display the image. Even if virus code is riding on back of the jpg, how does it ever get executed? (I am not talking about exe files that have had their extensions changed to .jpg to fool people -- I am talking about actual image files that may have had additional virus code appended to (or embedded in) it. How does that code ever get executed?
The closest thing I can think of to this problem is a self-extracting archive. In that case the data and extraction code are merged into one file, so that the recipient can extract the data files without having to own the extraction software. But in this case, the merge is intentional. (Although, that very fact makes downloading such files from the internet very hazardous.) But a jpg file was never intended to be executable in any way, right? So any application designed to read it, would not be using the read data as executable instructions. So just how does a virus in a jpg file ever infect a PC?
Any clarification is appreciated!

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