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You need to make it part of the linking stage in the makefile of your application, or if your calling gcc through the command line, you need to add the lib to the command line.
This Page has some basic examples to get you going.
Basically, if your source code is all in one file:
gcc -ljpeg -o yourProgname yourProgname.c
This assumes libjpeg is installed in one of the places listed in $LD_LIBRARY_PATH, or in /etc/ld.so.conf, followed by running ldconfig (as root).
If none of the above, then add the -L/dir/where/libjpeg/is to the gcc commanline.
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