I'm guessing you are not using the latest V-Ray for Sketchup and the jpeg texture you try to render is an Image. (It says Image in the Entity Info window when you select it?)
Before v1.48.66 of VfSU it did not render Image elements. You have the explode it.
We have a V-Ray section here at the forum: http://forums.sketchucation.com/viewforum.php?f=322
And please mention what version of VfSU when asking question as the answer often depends on this.
Also: screenshots of your SU model and your test renders greatly help when answering. If you have a small test model then you can add that to the post as well.