Internet Explorer 8 (and below) won’t show some of your jpegs

A very strange phenomenon I came across while developing web application for a customer. A Jpeg formatted picture wasn’t shown on IE8 browsers, while shown on others (Firefox 5, Chrome 12, IE9). The browser displayed an empty placeholder with a red ‘X’ as it does when not finding an image. This led as to searching for causes such as wrong URL, communication problems etc. .