I use Xubuntu 12.04.1 LTS (xfce) with Thunar file manager.
I ran this command:
And one Wine context menu item has gone.
How do I remove the other one?
I see from your screenshot that you have right clicked an image file (because of the options presented in the context menu), and presumably it is a jpeg or jpg file, as you say you have removed
If you take a look at the w3 standards page, you can see that jpeg jfif is known as the JPEG File Interchange Format; it is known as a progressive jpeg that is heavily compressed. Much more information and technical specifications is available in the official jfif pdf.
If you want other image extensions not to appear in the context menu as well, remove also