I've been using the code from Lesson6 for a while now, but it only loads file that are 256x256 and the files take up a lot of space. Does anyone know a site that has a tutorial on how to load jpg files? or how to load bmp files bigger that 256 height/width?

You could try the NeHe IPicture Basecode
This is simple, but it is only for windows

You could use DevIL - it supports many formats and is easy to use. Check the tutorials.

And I recommend you to use PNG files instead of JPG - no data loss and great compression.

I tried to download DevIL SDK for Windows, but it was a broken link

You can use SDL_image to do this too.