I would expect that if you know several people who have been infected by JPGs, then the majority would have opened "coolpicture.jpg.exe"

Yep, that happens alot, not in this particular case though.

My main point expressed to vcv is that because he hasn't seen it doesn't mean it doesn't exist. I remember him saying once (on the old forum) that he doesn't bother with AV software. That's okay, it's his machine, though it's a signal to me that he pays little attention all-round to virus issues. If this is the case then he's hardly an authority on it. And calling someone a liar based on one's personal view is 'Just not cricket'.