The question is simple! Where can i find
jpeglib, so i can load textures into my
OpenGL program!!

You might consider using PNG instead. In addition to the fact that it is a lossless format, it has native alpha channel support, which can be really useful in many texturing situations. The PNG library can be found from here:

On the other hand, if you don’t need alpha channel support, and your texutures look fine with JPEG compression, the feel free to use JPEG.