I had thought that there must be some built in .NET method that would
do this but apparently there is not. But as you suggest, it can be
done "manually". Here's how.

Create a form to display the full screen image. Size in design mode is
irrelevant. But set these properties:

BackColor - To what ever color you prefer displayed in areas not
covered by the image itself. I prefer Black.
FormBorderStyle - None
StartPosition - Manual
Top - 0
Left - 0
WindowState - Maximized (strange that this is required. if you don't
set it the form doesn't go completely full screen)

Add a PictureBox control to the form. Set these properties:

Location - 0, 0
SizeMode - Zoom (to ensure the image is displayed in the proper aspect
ratio)
Make the size equivalent to the size of the form's content area.
Set the Anchor property to Top, Bottom, Left, Right.

The code to display the image:

Instantiate the form.
Set the Width property to Screen.PrimaryScreen.WorkingArea.Width
Set the Height property to Screen.PrimaryScreen.WorkingArea.Height
Set the PictureBox.Image property to an instance of the Image class
that has had the JPG loaded into it.
Show the form with the ShowDialog method.

Be sure to add an OnClick event handler for the PictureBox to close
the form when you click on it. I also added a form KeyDown event
handler so I could also close the form by hitting ESC. There's no way
to close the form if neither of these are done.