Thanks for your reply. The first mistake I made was I changed the world file extension to ".jpgw" instead of just ".jpw". Once I did that, "Calibrate" recognized it. However, when I added the coordinate system infoand clicked "OK", the program crashed. So I'm not quite out of the woods yet.
On the topic of the Terraserver, there are times when I prefer a black and white image to the color one. Also, at times I need a topo map rather than the aerial image. As I mentioned in the original post, Microsoft has changed to a site called "Microsoft Research Maps". Here is a link: Microsoft Research Maps. It has a news item about the site.