that's a warning, not an error. problem is we have to use a longjmp there as you can't use exception handling from inside C code (or at least not on all compilers).. so it's there to stay, unless you want to volunteer to port jpeglib to c++, or have your program exit on a bad jpeg!
you know in the tools->update packages(or whatever) there is a dev package called irrlicht 0.14+DX3D or something like it, it works... gaurenteed win, only solution i could find =)