blp are the blizzard texture files for the w3 map.
jpg files are compressed and you should avoid them and edit in tga (i think) if possible.
you need a format that has alpha channel. (it's like a transparency channel, like a bluescreen in a video editor)
the easiest way to start experimenting with BLP is this:
you can open a blp file and convert it to TGA, edit it with an image software, convert back to blp, and them import to the game, use the correct path to see it work.
this information is explained around this forum in a much better depth that what i can express, if you use the forum's search engine.
Just a quick note. TGA is indeed nice as it is non destructive, but in all fairness, I would rather recommend PNG for working on textures that require an alpha channel.
It has lossless compression, and seems to be the new standard for non complex "transparent-able" images.
I know TGA is supported by Warcraft 3 unlike PNG, but considering the huge size of TGA files, it is really not recommended to use it unless you have no other choice (and I am not even sure there still are situations where it is required nowadays).
FYI whatever image processing software I use, I always save my textures to PNG before converting it to BLP. DDS is the one that Blizzard chose in the end, but to be honest it ended up being a disappointment.
Anyways as @CarlosCepinha just said, you will find quite a few utilities searching these forums that will allow you to manipulate all these image formats.