You cannot just "save JPEGs" into the background templates. It would be cool if you could... but you can't. You need to get into the XML theme specification that Sony has on their web site for this.
There is also tool "DVD Menu Theme Editor" that someone created to allow you to build themes without knowing this XML stuff. I don't have a web site for this... but perhaps someone else can chime in. Also.. I have no idea if this works with DVDA2.
If all you want to do is create a screenshot from DVDA that can be used as a static background, just set preview to Best in DVDA, copy snapshot to clipboard, open in your photo editor, and save as a png or tga. It's a drag that DVDA can't recognize images from the clipboard as pasted items though.
Regarding creating a theme, you've got that link now...
You don't need to make a whole new theme to put a new background picture in the menu. Just drag a pic from the explorer window and drop on the work area. To save a jpeg, make sure it's high quality and save with the same dimensions as PAL or NTSC. I never use jpegs myself since it's a lossy format. Usually PNG is my numer one choice.
Best/Tommy
"It's a drag that DVDA can't recognize images from the clipboard as pasted items though."
What surprises me is that when you save a image in the proper folder within the program, it doesn't show up in the "views" such as backgrounds. This undoubtedly has something to do with the XML, of which I am ignorant.
"Just drag a pic from the explorer window and drop on the work area."
That's more or less what I wound up doing. The down side of that was everytime I wanted to click on an object on in the work area, the background was always the first object selected. I got it done, though.