Your image may not be a true "jay peg" (.jpg/.jpeg) or it may simply too big - or both!
From what you posted, you need to be sure the graphics file is a "real" graphics file and not something like a text file that just had it's file extension changed from .txt to .png or something. You also need to be sure that the graphics size is within the specifications given of 920x640 or smaller - not necessarily it's "file size" either (although that too may be a concern if there's limited bandwidth and space for storage).
I can't advise you how to use Photoshop since I use GiMP, but you probably don't need an editor if you have a descent graphics viewer like IrfanView. Cause all you really need to do is convert your graphics file to a "supported" file type (eg, jpg, tif, etc.) and make sure the dimensions (resolution) are correct where 920x640 seems to be the upper limit. Of course, Photoshop and even GiMP can do this, but it is some serious overkill for simple graphics re-encoding.
You probably should also know that most modern full-fledged digital cameras (even the cheap ones) produce pictures in mega-pixels that measure way bigger than those dimensions of 920x640. So you probably just need to re-encode each picture to smaller dimension and make sure the file type is also a .jpg or .tif or .png and not something like a unsupported file type such as a .bmp (bit map), .gif or something else.
A word of caution here too. You might be tempted to re-encode all your graphics for compatibility with your iPhone and it's great to do for a small phone screen. I just don't advise changing all your pictures and then getting rid of the originals cause you will almost certainly regret it later on when you want to print a detailed photo or view it on a larger screen. Rather, make a copy of your originals that adhere to your iPhone requirements - don't delete (or change) the originals!
BTW, IrFanView (assuming you can use it) does batch conversions so you don't have to re-encode a bunch of graphics one by one. IrFanView is also free for individual use too! For more, here's a link: