[ecfisa]

Hola vankul.

De este modo me funciona correctamente:

#include <jpeg.hpp>

void __fastcall TForm1::FormCreate(TObject *Sender)
{
 FileListBox1->Directory = "C:\\Prueba\\Imagenes";
 FileListBox1->Mask = "*.BMP;*.JPG;*.JPEG";
 ListView1->SmallImages = ImageList1;
 ListView1->ViewStyle  = vsSmallIcon;
}

void __fastcall TForm1::Button1Click(TObject *Sender)
{
  for (int i = 0; i < FileListBox1->Items->Count; i++) {
    TJPEGImage *JPG = new TJPEGImage();
    Graphics::TBitmap *BM = new Graphics::TBitmap;
    TRect R;
    AnsiString filename = FileListBox1->Directory + "\\" +
                          FileListBox1->Items->Strings[i];
    AnsiString name     = ExtractFileName(filename);
    AnsiString ext      = ExtractFileExt(filename).UpperCase();
    R.Left     = 0;
    R.Top      = 0;
    R.Right    = ImageList1->Width;
    R.Bottom   = ImageList1->Height;
    BM->Width  = ImageList1->Width;
    BM->Height = ImageList1->Height;
    try {
      if (ext == ".JPG" || ext == ".JPEG") {
        JPG->LoadFromFile(filename);
        BM->Assign(JPG);
        BM->Canvas->StretchDraw(R, BM);
        ImageList1->Add(BM, NULL);
      }
      if (ext == ".BMP") {
        BM->LoadFromFile(filename);
        ImageList1->Add(BM, NULL);
      }
      ListView1->Items->Add();
      ListView1->Items->Item[ListView1->Items->Count-1]->Caption = name;
      ListView1->Items->Item[ListView1->Items->Count-1]->ImageIndex = i;
    }
    catch(...) {
      MessageBox(Handle,
                 ((AnsiString)("Error leyendo imágen: "+filename)).c_str(),
                 "ERROR",
                 MB_ICONERROR);
    }
    delete JPG;
    delete BM;
  }
}

Saludos

Edito: vankul, cambié el título original "Una ayudita" por uno mas significativo para facilitar las búsquedas.