# split your arguments up (recommended)
system("cjpeg.exe","-gr","/program Files/Lego Mindstroms/Image0001.bmp");

# single quote the filepath
system("cjpeg.exe -gr '/program Files/Lego Mindstroms/Image0001.bmp' ");  

##</code><code>##

system('C:\path\to\cjpeg.exe','-gr','C:\program Files\Lego Mindstroms\Image0001.bmp');

##</code><code>##

system('C:/path/to/cjpeg.exe','-gr','C:/program Files/Lego Mindstroms/Image0001.bmp');