Don't get disheartened! I'll try and explain what's happening but to do so I have turned OFF BBCode in this post.
There are separate things going on here. To display a JPEG you just enclose the full path by the [img] and [/img] tags
The path enclosed by the [img] [/img] tags has to be to a picture, NOT to a web page containing a picture. If all you want to do is display an image that is enough. To make an image "clickable" we need to step back one and consider how we get a hyperlink to display. That is done by enclosing the URL with [url] and [/url] like so
The trouble is that though http://www.flickr.com/photos/21038859@N08/2043517838/
is displayed as a hyperlink it doesn't look pretty. To do that we use the [url=...] coupled with the [/url] tag like so:
[url=http://www.flickr.com/photos/21038859@N08/2043517838/]Some descriptive text[/url]. Now when the post is displayed instead of seeing the URL we get the text "Some descriptive text" displayed as a hyperlink.
The final key to the puzzle is to realise that it doesn't HAVE to be text that is the hyperlink. If we replace "Some descriptive text" by the "[img]http://farm3.static.flickr.com/2097/2043517838_afad1eabfa.jpg[/img]" string used to display an image then the image itself becomes the hyperlink. Hence the final result is;