Media players can be unique players
Those files on very proprietary disks, like a Penthouse set of pictures would be, are going to have special picture formats (if they are even seen as separate files) that will only be viewable in whatever type of player is on the disk. They (the people who made the disk) do not what you to freely distribute the pictures elsewhaere.
So, I am guessing that while the pictures may show ".jpg" on the files ... they probably are not. That is only to confuse you (or anybody) when you try to send them, or store them, elsewhere.
The one way that they can not stop you to store off the files in any method you want, is to do a screen capture per each new image on the screen. The quality of the captured image is not going to be any higher than your screen resolution though.