Difficult to say.
Maybe they disappear if you clear the Temporary Internet Files or the cache of your browser or your temp files or whereever the program you received it with (you didn't tell) stores it's temporary files.
Maybe they were included in the jpeg somehow.
Maybe they were streamed for Internet.
Maybe it weren't pictures but a flash file.

But even if it's still present on your system, it's not said that an antivirus program will recognize it as a virus if it's just a picture.

Keep searching using possible file types (extensions, like *.jpg for pictures) and file creation or modification date equal to when this happened. If you can't find it, assume it's gone.