Insert Picture To Cell in Col A with pic name in Col B

Use this bit of code to get the list of jpg files in the folder, then that part of the error would be eliminated.

Sub GetJPG()

    Dim y As Long

    Columns(2).ClearContents
    Range("B1") = "JPG Files"
    Application.ScreenUpdating = False
    
    With Application.FileSearch

        .LookIn = "C:\Documents and Settings\valued customer\My Documents\My Pictures\"    'Change to your location
        .FileType = msoFileTypeAllFiles

        For y = 1 To .FoundFiles.Count

            Sheet1.Cells(y + 1, 2) = Mid$(.FoundFiles(y), InStrRev(.FoundFiles(y), "\") + 1)

        Next

    End With

    OnlyJPG

End Sub
Sub OnlyJPG()
'Filters just jpg files
    Dim Rws As Long, Rng As Range

    Rws = Cells(Rows.Count, "B").End(xlUp).Row
    Set Rng = Range(Cells(2, 2), Cells(Rws, 2))

    Rng.AutoFilter Field:=1, Criteria1:="<>*.JPG*", Operator:=xlAnd
    Rng.SpecialCells(xlCellTypeVisible).EntireRow.Delete

End Sub

.JPG will still remain in the file name so that part of your original code would not be required.