If your embroidery software can't find a file with the jpeg extension, it's very poorly written. jpg and jpeg are the exact same file. As pointed out, there is no need to convert them, they simply need to be renamed.
Here's a batch file that will do the renaming for you. Copy the text between the CODE tags below into a text file and name it something like jpg.bat. Put it in the folder where you download the jpeg files. After downloading, simply open File Explorer and find the jpg.bat and double-click on it and it will rename all the jpeg files to jpg files.
rename *.jpeg *.jpg
That's because, by default, Windows hides file extensions in File Explorer. In File Explorer, on the View ribbon, put a check mark in the File name extensions checkbox.