JACEK
I must thank you for all the pains you would have taken to look for CJPEG.EXE on the net and then testing it.
Infact this CJPEG.EXE is from Independent JPEG group ( VERSION 6) .The same program ( VERSION 4) has been modified for data hiding in JPEG images. ANd some more switches have been provided.
Now instead of just converting a PPM file to JPEG one can add a data file with -steg switch in the JPEG file so formed.( This modification perhaps has not been done in VERSION 6 )

cjpeg -steg <filename> image.ppm image2.jpg

is the way it works.
Now there is a limit to the amount of data one can hide in the JPEG file. When all the filenames are OK and data to be hidden is not exceeding there is no message meaning the thing has worked fine.
But if the data is too much to be loaded or <filename> or image.ppm is missing then the error message come. Now this happens on the comd prompt and not through my program.
I couldhave attached the zipped file but it is 2 mb.I am sending it in email. Please have a look at it.You have brought me till here.Thanks